Merge branch 'main' into strengejacke/issue937

NEWS.md

@@ -8,6 +8,9 @@
 
 * `get_dispersion()` is now an exported function.
 
+* Updates `get_varcov()` (and related documentation) to support new covariance
+  matrix estimation methods from the **sandwich** package.
+
 ## Bug fix
 
 * `clean_parameters()` now uses the correct labels for the random effects

R/get_varcov.R

@@ -28,14 +28,14 @@
 #'  * A covariance matrix
 #'  * A function which returns a covariance matrix (e.g., `stats::vcov()`)
 #'  * A string which indicates the kind of uncertainty estimates to return.
-#'    - Heteroskedasticity-consistent: `"vcovHC"`, `"HC"`, `"HC0"`, `"HC1"`,
-#'      `"HC2"`, `"HC3"`, `"HC4"`, `"HC4m"`, `"HC5"`. See `?sandwich::vcovHC`
+#'    - Heteroskedasticity-consistent: `"HC"`, `"HC0"`, `"HC1"`, `"HC2"`,
+#'      `"HC3"`, `"HC4"`, `"HC4m"`, `"HC5"`. See `?sandwich::vcovHC`
 #'    - Cluster-robust: `"vcovCR"`, `"CR0"`, `"CR1"`, `"CR1p"`, `"CR1S"`,
-#'      `"CR2"`, `"CR3"`. See `?clubSandwich::vcovCR()`
+#'      `"CR2"`, `"CR3"`. See `?clubSandwich::vcovCR`
 #'    - Bootstrap: `"vcovBS"`, `"xy"`, `"residual"`, `"wild"`, `"mammen"`,
-#'      `"webb"`. See `?sandwich::vcovBS`
-#'    - Other `sandwich` package functions: `"vcovHAC"`, `"vcovPC"`, `"vcovCL"`,
-#'      `"vcovPL"`.
+#'      `"fractional"`, `"jackknife"`, `"norm"`, `"webb"`.
+#'      See `?sandwich::vcovBS`
+#'    - Other `sandwich` package functions: `"HAC"`, `"PC"`, `"vCL"`, `"PL"`.
 #' @param vcov_args List of arguments to be passed to the function identified by
 #'   the `vcov` argument. This function is typically supplied by the **sandwich**
 #'   or **clubSandwich** packages. Please refer to their documentation (e.g.,

R/get_varcov_sandwich.R

@@ -27,13 +27,15 @@
     return(.vcov)
   }
 
+  vcov_type_shortcuts <- c(
+    "HC0", "HC1", "HC2", "HC3", "HC4", "HC4m", "HC5", "CR0", "CR1",
+    "CR1p", "CR1S", "CR2", "CR3", "xy", "residual", "wild", "mammen",
+    "webb", "fractional", "jackknife", "norm"
+  )
+
   # type shortcuts: overwrite only if not supplied explicitly by the user
   if (!"type" %in% names(vcov_args)) {
-    if (isTRUE(vcov_fun %in% c(
-      "HC0", "HC1", "HC2", "HC3", "HC4", "HC4m", "HC5",
-      "CR0", "CR1", "CR1p", "CR1S", "CR2", "CR3", "xy",
-      "residual", "wild", "mammen", "webb"
-    ))) {
+    if (isTRUE(vcov_fun %in% vcov_type_shortcuts)) {
       vcov_args[["type"]] <- vcov_fun
     } else if (is.null(vcov_fun)) {
       # set defaults
@@ -73,6 +75,9 @@
       CR = "vcovCR",
       xy = ,
       residual = ,
+      norm = ,
+      jackknife = ,
+      fractional = ,
       wild = ,
       mammen = ,
       webb = ,

tests/testthat/test-get_varcov.R

@@ -35,6 +35,18 @@ test_that("lm: sandwich", {
     sandwich::vcovOPG(mod),
     tolerance = 1e-5
   )
+
+  # examples from ?vcovBS
+  skip_on_cran()
+  data("PetersenCL", package = "sandwich")
+  m <- lm(y ~ x, data = PetersenCL)
+
+  set.seed(1234)
+  expect_equal(
+    get_varcov(m, vcov = "jackknife", vcov_args = list(cluster = PetersenCL$firm)),
+    sandwich::vcovBS(m, cluster = ~firm, type = "jackknife"),
+    tolerance = 1e-5
+  )
 })
 
 test_that("lm: clubSandwich", {