zeileis / fixest Goto Github PK

Laurent, as discussed today, it would be great to provide an efficient vcovBS() method for bootstrap/refitting-based covariance estimation via fixest, at least for the feols() case. What I have done so far:

• Fork fixest, new branch vcovBS-fixest, added fixest/R/vcovBS.feols.R which is mainly a copy of vcovBS.lm() that we can modify so that it handles feols() output.
• So far the function is called vcovBS.feols() so that we can try and call it directly. How best to handle other fixest models can be discussed later. I've added some rough roxygen documentation strings but haven't actually tested it, yet. Can also be done later.
• In the source file I have added some NOTE and some FIXME comments. The former are just for your information or can be handled later. The latter are the ones which need to be adapted by you to fixest.

I hope you have everything to get started. Let me know if you need something else or have questions.