summclust
Module to Compute Influence and Leverage Statistics for Regression Models with Clustered Errors
Module to compute cluster specific information for regression models
with clustered errors, including leverage and influence statistics.
Models of type 'lm' and 'fixest'(from the 'stats' and 'fixest' packages)
are supported. 'summclust' implements similar features as the
user-written 'summclust.ado' Stata module (MacKinnon, Nielsen & Webb, 2022;
summclust
{summclust} is an R module for cluster level measures of leverage and
influence, and further implements CRV3 and CRV3J cluster robust variance
estimators.
For an introduction to the package, take a look at its vignette.
For a quick overview of different CRV estimators, take a look at the cluster robust variance estimation vignette.
For a very detailed description of the implemented methods, in particular a discussion of the different leverage and influence metrics, see:
MacKinnon, J.G., Nielsen, M.Ø., Webb, M.D., 2022. Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust. QED Working Paper 1483. Queen’s University.
For the Stata version of the package, see here.
Installation
You can install the development version of summclust from CRAN, GitHub and r-universe with:
# install from CRAN
install.packages('summclust')
# from r-universe (windows & mac, compiled R > 4.0 required)
install.packages('summclust', repos ='https://s3alfisc.r-universe.dev')
# install.packages("devtools")
devtools::install_github("s3alfisc/summclust")