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Subject: CVS commit: pkgsrc/math/R-sandwich
From: Makoto Fujiwara
Date: 2023-06-08 18:04:37
Message id: 20230608160437.A54ADFA89@cvs.NetBSD.org
Log Message:
(math/R-sandwich) Updated 3.0.1 to 3.0.2
# sandwich 3.0-2
* Added new argument `aggregate = TRUE` to `meatPL()` which is thus inherited by
`vcovPL()`. By default, this still yields the Driscoll & Kraay (1998) \
covariance
matrix. When setting `aggregate = FALSE` the cross-sectional and cross-serial
correlation is set to zero, yielding the "pure" panel Newey-West \
covariance
matrix.
* Bug fix in `vcovCL(..., type = "HC2")` for `glm` objects or `lm` objects
with weights. The code had erroneously assumed that the hat matrices were
all symmetric (as in the `lm` case without weights). This is corrected now.
(Detected and reported by Bixi Zhang.)
* Issue a warning in `vcovHC()` for HC2/HC3/HC4/HC4m/HC5 if any of the hat values
are numerically equal to 1. This leads to numerically unstable covariances,
in the most extreme case `NaN` because the associated residuals are equal to
0 and divided by 0. (Suggested by Ding Peng and John Fox.)
* Speed improvement in `vcovBS.lm()`: For `"xy"` bootstrap, \
`.lm.fit()` rather than
`lm.fit()` is used which is somewhat more efficient in some situations (suggested
by Grant McDermott). For `"residual"` and wild bootstrap, the \
bootstrap by default
still samples coefficients via QR decomposition in each iteration (`qrjoint = \
FALSE`)
but may alternatively sample the dependent variable and then apply the QR
decomposition jointly only once (`qrjoint = TRUE`). If the sample size (and the
number of coefficients) is large, then `qrjoint = TRUE` may be significantly faster
while requiring much more memory (proposed by Alexander Fischer).
* Enable passing score matrix (as computed by `estfun()`) directly to
`bwAndrews()` and `bwNeweyWest()`. If this is used, the score matrix should
either have a column `(Intercept)` or the `weights` argument should be set
appropriately to identify the column pertaining to the intercept (if any).
* The vignettes have been tweaked so that they still "run" without \
technical errors
when suggested packages (listed in the VignetteDepends) are not available. This is
achieved by defining replacement functions that do not fail but lead to partially
non-sensical output. A warning is added in the vignettes if any of the replacements
is used.
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