Comments (4)
+1 for this, in my case for product-country two way clustering in fepois.
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This is now possible with version 0.10.3.
from pyfixest.estimation import fepois
from pyfixest.summarize import summary
from pyfixest.utils import get_data
data = get_data(N = 1000, model = "Fepois")
fit_crv1 = fepois("Y ~ X1 + X2 | f1 + f2", data = data, vcov = {"CRV1":"f1+f2"})
fit_crv3 = fepois("Y ~ X1 + X2 | f1 + f2", data = data, vcov = {"CRV3":"f1+f2"})
summary([fit_crv1, fit_crv3])
###
Estimation: Poisson
Dep. var.: Y, Fixed effects: f1+f2
Inference: CRV1
Observations: 997
| Coefficient | Estimate | Std. Error | t value | Pr(>|t|) | 2.5 % | 97.5 % |
|:--------------|-----------:|-------------:|----------:|-----------:|--------:|---------:|
| X1 | -0.052 | 0.035 | -1.502 | 0.133 | -0.120 | 0.016 |
| X2 | 0.007 | 0.014 | 0.520 | 0.603 | -0.020 | 0.034 |
---
Deviance: 1066.019
###
Estimation: Poisson
Dep. var.: Y, Fixed effects: f1+f2
Inference: CRV3
Observations: 997
| Coefficient | Estimate | Std. Error | t value | Pr(>|t|) | 2.5 % | 97.5 % |
|:--------------|-----------:|-------------:|----------:|-----------:|--------:|---------:|
| X1 | -0.052 | 0.038 | -1.375 | 0.169 | -0.126 | 0.022 |
| X2 | 0.007 | 0.015 | 0.480 | 0.631 | -0.022 | 0.036 |
---
Deviance: 1066.019
So I am closing this for now. Let me know if you experience any issues / would prefer another syntax @aeturrell =)
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Oh wow, amazing, thank you so much. Great timing too! Need this this week.
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Update: this is basically done and should only require some unit tests =)
Hi @aeturrell, I have added a skeleton for twoway clustering in case you are under time pressure / need to get results sooner than I will be able to fully implement this. Though I think I can get this done by the end of the week =)
The syntax for twoway clustering would be
fit = fepois("Y ~ X1 + X2", vcov= {'CRV1': "f1+f2"}, data=df)
Alternatively, one could also allow to specify the two clustering variables by a list.
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