setFixest_vcov function

Sets the default type of standard errors to be used

This functions defines or extracts the default type of standard-errors to computed in fixest summary, and vcov.

setFixest_vcov(
  no_FE = "iid",
  one_FE = "cluster",
  two_FE = "cluster",
  panel = "cluster",
  all = NULL,
  reset = FALSE
)

getFixest_vcov()

Arguments

• no_FE: Character scalar equal to either: "iid" (default), or "hetero". The type of standard-errors to use by default for estimations without fixed-effects.

• one_FE: Character scalar equal to either: "iid", "hetero", or "cluster" (default). The type of standard-errors to use by default for estimations with one fixed-effect.

• two_FE: Character scalar equal to either: "iid", "hetero", "cluster" (default), or "twoway". The type of standard-errors to use by default for estimations with two or more

  fixed-effects.

• panel: Character scalar equal to either: "iid", "hetero", "cluster" (default), or "driscoll_kraaay". The type of standard-errors to use by default for estimations with the argument panel.id set up. Note that panel has precedence over the presence of fixed-effects.

• all: Character scalar equal to either: "iid", or "hetero". By default is is NULL. If provided, it sets all the SEs to that value.

• reset: Logical, default is FALSE. Whether to reset to the default values.

Returns

The function getFixest_vcov() returns a list with three elements containing the default for estimations i) without, ii) with one, or iii) with two or more fixed-effects.

Examples

# By default:
# - no fixed-effect (FE): standard
# - one or more FEs: cluster
# - panel: cluster on panel id

data(base_did)
est_no_FE  = feols(y ~ x1, base_did)
est_one_FE = feols(y ~ x1 | id, base_did)
est_two_FE = feols(y ~ x1 | id + period, base_did)
est_panel = feols(y ~ x1 | id + period, base_did, panel.id = ~id + period)

etable(est_no_FE, est_one_FE, est_two_FE)

# Changing the default standard-errors
setFixest_vcov(no_FE = "hetero", one_FE = "iid",
               two_FE = "twoway", panel = "drisc")
etable(est_no_FE, est_one_FE, est_two_FE, est_panel)

# Resetting the defaults
setFixest_vcov(reset = TRUE)