R Under development (unstable) (2024-09-14 r87148 ucrt) -- "Unsuffered Consequences"
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> library("sandwich")
> data("PetersenCL", package = "sandwich")
> m <- lm(y ~ x, data = PetersenCL)
> b <- glm((y > 0) ~ x, data = PetersenCL, family = binomial(link = "logit"))
> 
> options(digits = 3)
> 
> ## various versatile variance flavors
> vcovCL(m, cluster = ~ firm, type = "HC0", cadjust = TRUE)
            (Intercept)         x
(Intercept)    4.49e-03 -6.47e-05
x             -6.47e-05  2.56e-03
> vcovCL(m, cluster = ~ firm, type = "HC0", cadjust = FALSE)
            (Intercept)         x
(Intercept)    4.48e-03 -6.46e-05
x             -6.46e-05  2.55e-03
> vcovCL(m, cluster = ~ firm, type = "HC1", cadjust = TRUE)
            (Intercept)         x
(Intercept)    4.49e-03 -6.47e-05
x             -6.47e-05  2.56e-03
> vcovCL(m, cluster = ~ firm, type = "HC1", cadjust = FALSE)
            (Intercept)         x
(Intercept)    4.48e-03 -6.46e-05
x             -6.46e-05  2.55e-03
> vcovCL(m, cluster = ~ firm, type = "HC2", cadjust = TRUE)
            (Intercept)         x
(Intercept)    4.49e-03 -6.59e-05
x             -6.59e-05  2.57e-03
> vcovCL(m, cluster = ~ firm, type = "HC2", cadjust = FALSE)
            (Intercept)         x
(Intercept)    4.49e-03 -6.58e-05
x             -6.58e-05  2.56e-03
> vcovCL(m, cluster = ~ firm, type = "HC3", cadjust = TRUE)
            (Intercept)         x
(Intercept)    4.51e-03 -6.73e-05
x             -6.73e-05  2.58e-03
> vcovCL(m, cluster = ~ firm, type = "HC3", cadjust = FALSE)
            (Intercept)         x
(Intercept)    4.50e-03 -6.71e-05
x             -6.71e-05  2.58e-03
> 
> vcovCL(m, cluster = ~ firm + year, type = "HC0", cadjust = TRUE)
            (Intercept)         x
(Intercept)    4.23e-03 -2.84e-05
x             -2.84e-05  2.87e-03
> vcovCL(m, cluster = ~ firm + year, type = "HC0", cadjust = FALSE)
            (Intercept)         x
(Intercept)    4.17e-03 -3.08e-05
x             -3.08e-05  2.75e-03
> vcovCL(m, cluster = ~ firm + year, type = "HC1", cadjust = TRUE)
            (Intercept)         x
(Intercept)    4.23e-03 -2.85e-05
x             -2.85e-05  2.87e-03
> vcovCL(m, cluster = ~ firm + year, type = "HC1", cadjust = FALSE)
            (Intercept)         x
(Intercept)    4.17e-03 -3.08e-05
x             -3.08e-05  2.75e-03
> vcovCL(m, cluster = ~ firm + year, type = "HC2", cadjust = TRUE)
            (Intercept)         x
(Intercept)    4.24e-03 -2.82e-05
x             -2.82e-05  2.88e-03
> vcovCL(m, cluster = ~ firm + year, type = "HC2", cadjust = FALSE)
            (Intercept)         x
(Intercept)    4.17e-03 -3.07e-05
x             -3.07e-05  2.76e-03
> vcovCL(m, cluster = ~ firm + year, type = "HC3", cadjust = TRUE)
            (Intercept)         x
(Intercept)    0.004312 -0.000025
x             -0.000025  0.003015
> vcovCL(m, cluster = ~ firm + year, type = "HC3", cadjust = FALSE)
            (Intercept)         x
(Intercept)    0.004242 -0.000028
x             -0.000028  0.002886
> 
> 
> ## comparison with multiwayvcov::cluster.vcov
> if(!require("multiwayvcov")) q()
Loading required package: multiwayvcov
> all.equal(
+   vcovCL(m, cluster = ~ firm),
+   multiwayvcov::cluster.vcov(m, ~ firm)
+ )
[1] TRUE
> all.equal(
+   vcovCL(m, cluster = ~ firm + year, multi0 = TRUE),
+   multiwayvcov::cluster.vcov(m, ~ firm + year)
+ )
[1] TRUE
> all.equal(
+   vcovCL(m, cluster = ~ firm, type = "HC0", cadjust = FALSE),
+   multiwayvcov::cluster.vcov(m, ~ firm, df_correction = FALSE)
+ )
[1] TRUE
> all.equal(
+   vcovCL(m, cluster = ~ firm + year, type = "HC0", cadjust = FALSE),
+   multiwayvcov::cluster.vcov(m, ~ firm + year, df_correction = FALSE)
+ )
[1] TRUE
> 
> 
> ## comparison with BMlmSE snippet (https://github.com/kolesarm/Robust-Small-Sample-Standard-Errors,
> ## Bell-McCaffrey standard errors as described in Imbens and Kolesar 2016)
> 
> ## BMlmSE(m, clustervar = factor(PetersenCL$firm))$vcov
> bellmc1 <- matrix(c(0.0044944872570532, -6.59291186924326e-05, -6.59291186924326e-05, 0.00256823604178553), nrow = 2)
> rownames(bellmc1) <- colnames(bellmc1) <- c("(Intercept)", "x")
> 
> (bellmc2 <- vcovCL(m, cluster = ~ firm, type = "HC2"))
            (Intercept)         x
(Intercept)    4.49e-03 -6.59e-05
x             -6.59e-05  2.57e-03
> all.equal(bellmc1, bellmc2)
[1] TRUE
> 
> 
> ## comparison with Stata/MP 12.0
> ## regress y x, vce(cluster firm)
> clm <- matrix(c(0.0044907, -0.00006474, -0.00006474, 0.00255993), nrow = 2)
> 
> ## logit via brl (https://economics.mit.edu/faculty/angrist/data1/mhe/brl)
> ## generate binary = (y > 0)
> ## brl binary x, cluster(firm) logit
> clb <- matrix(c(0.00358954,  0.00001531, 0.00001531, 0.00275766), nrow = 2)
> rownames(clm) <- colnames(clm) <- rownames(clb) <- colnames(clb) <- c("(Intercept)", "x")
> 
> all.equal(vcovCL(m, cluster = ~ firm), clm, tol = 1e-5)
[1] TRUE
> all.equal(vcovCL(b, cluster = ~ firm), clb, tol = 1e-5)
[1] TRUE
> 
> ## clustered HC2 for OLS and logit
> hc2m <- matrix(c(0.00449449, -0.00006593, -0.00006593, 0.00256824), nrow = 2)
> hc2b <- matrix(c(0.00359275,  0.000015, 0.000015, 0.00276326), nrow = 2)
> rownames(hc2m) <- colnames(hc2m) <- rownames(hc2b) <- colnames(hc2b) <- c("(Intercept)", "x")
> 
> all.equal(vcovCL(m, cluster = ~ firm, type = "HC2"), hc2m, tol = 1e-5)
[1] TRUE
> all.equal(vcovCL(b, cluster = ~ firm, type = "HC2"), hc2b, tol = 3e-4)
[1] TRUE
> 
> 
> ## more examples
> 
> data("InstInnovation", package = "sandwich")
> InstInnovation$institutions <- InstInnovation$institutions/100
> 
> ## ## exclucde Poisson for now: long computation time, some BLAS differences
> ## n <- glm(cites ~ institutions, data = InstInnovation, family = poisson)
> ## 
> ## vcovCL(n, cluster = ~ company, type = "HC0", cadjust = TRUE)
> ## vcovCL(n, cluster = ~ company, type = "HC0", cadjust = FALSE)
> ## vcovCL(n, cluster = ~ company, type = "HC1", cadjust = TRUE)
> ## vcovCL(n, cluster = ~ company, type = "HC1", cadjust = FALSE)
> ## vcovCL(n, cluster = ~ company, type = "HC2", cadjust = TRUE)
> ## vcovCL(n, cluster = ~ company, type = "HC2", cadjust = FALSE)
> ## vcovCL(n, cluster = ~ company, type = "HC3", cadjust = TRUE)
> ## vcovCL(n, cluster = ~ company, type = "HC3", cadjust = FALSE)
> ## 
> ## vcovCL(n, cluster = ~ company + year, type = "HC0", cadjust = TRUE)
> ## vcovCL(n, cluster = ~ company + year, type = "HC0", cadjust = FALSE)
> ## vcovCL(n, cluster = ~ company + year, type = "HC1", cadjust = TRUE)
> ## vcovCL(n, cluster = ~ company + year, type = "HC1", cadjust = FALSE)
> ## vcovCL(n, cluster = ~ company + year, type = "HC2", cadjust = TRUE)
> ## vcovCL(n, cluster = ~ company + year, type = "HC2", cadjust = FALSE)
> ## vcovCL(n, cluster = ~ company + year, type = "HC3", cadjust = TRUE)
> ## vcovCL(n, cluster = ~ company + year, type = "HC3", cadjust = FALSE)
> 
> 
> o <- lm(log(cites) ~ institutions, data = InstInnovation, subset = cites > 0)
> 
> vcovCL(o, cluster = ~ company + year, type = "HC0", cadjust = TRUE, multi0 = TRUE)
             (Intercept) institutions
(Intercept)       0.0230      -0.0284
institutions     -0.0284       0.1524
> vcovCL(o, cluster = ~ company + year, type = "HC0", cadjust = TRUE, multi0 = FALSE)
             (Intercept) institutions
(Intercept)       0.0230      -0.0284
institutions     -0.0284       0.1524
> vcovCL(o, cluster = ~ company + year, type = "HC0", cadjust = FALSE, multi0 = TRUE)
             (Intercept) institutions
(Intercept)       0.0217      -0.0273
institutions     -0.0273       0.1400
> vcovCL(o, cluster = ~ company + year, type = "HC0", cadjust = FALSE, multi0 = FALSE)
             (Intercept) institutions
(Intercept)       0.0217      -0.0273
institutions     -0.0273       0.1400
> vcovCL(o, cluster = ~ company + year, type = "HC1", cadjust = TRUE, multi0 = TRUE)
             (Intercept) institutions
(Intercept)       0.0231      -0.0284
institutions     -0.0284       0.1524
> vcovCL(o, cluster = ~ company + year, type = "HC1", cadjust = TRUE, multi0 = FALSE)
             (Intercept) institutions
(Intercept)       0.0231      -0.0284
institutions     -0.0284       0.1524
> vcovCL(o, cluster = ~ company + year, type = "HC1", cadjust = FALSE, multi0 = TRUE)
             (Intercept) institutions
(Intercept)       0.0217      -0.0273
institutions     -0.0273       0.1400
> vcovCL(o, cluster = ~ company + year, type = "HC1", cadjust = FALSE, multi0 = FALSE)
             (Intercept) institutions
(Intercept)       0.0217      -0.0273
institutions     -0.0273       0.1400
> vcovCL(o, cluster = ~ company + year, type = "HC2", cadjust = TRUE, multi0 = TRUE)
             (Intercept) institutions
(Intercept)       0.0239      -0.0293
institutions     -0.0293       0.1517
> vcovCL(o, cluster = ~ company + year, type = "HC2", cadjust = TRUE, multi0 = FALSE)
             (Intercept) institutions
(Intercept)       0.0239      -0.0293
institutions     -0.0293       0.1517
> vcovCL(o, cluster = ~ company + year, type = "HC2", cadjust = FALSE, multi0 = TRUE)
             (Intercept) institutions
(Intercept)       0.0225       -0.028
institutions     -0.0280        0.139
> vcovCL(o, cluster = ~ company + year, type = "HC2", cadjust = FALSE, multi0 = FALSE)
             (Intercept) institutions
(Intercept)       0.0225       -0.028
institutions     -0.0280        0.139
> vcovCL(o, cluster = ~ company + year, type = "HC3", cadjust = TRUE, multi0 = TRUE)
             (Intercept) institutions
(Intercept)       0.0266      -0.0317
institutions     -0.0317       0.1650
> vcovCL(o, cluster = ~ company + year, type = "HC3", cadjust = TRUE, multi0 = FALSE)
             (Intercept) institutions
(Intercept)       0.0266      -0.0317
institutions     -0.0317       0.1650
> vcovCL(o, cluster = ~ company + year, type = "HC3", cadjust = FALSE, multi0 = TRUE)
             (Intercept) institutions
(Intercept)       0.0249      -0.0302
institutions     -0.0302       0.1512
> vcovCL(o, cluster = ~ company + year, type = "HC3", cadjust = FALSE, multi0 = FALSE)
             (Intercept) institutions
(Intercept)       0.0249      -0.0302
institutions     -0.0302       0.1512
> 
> 
> proc.time()
   user  system elapsed 
  24.32    1.04   25.35