CRV3 inference for poisson #157 (#185)

* CRV3 inference for poisson #157 * increase inference infaltion factor in tests
py-econometrics · Oct 13, 2023 · 3959fda · 3959fda
1 parent 4ee0490
commit 3959fda
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Showing 7 changed files with 24 additions and 16 deletions.
diff --git a/pyfixest/__pycache__/feols.cpython-310.pyc b/pyfixest/__pycache__/feols.cpython-310.pyc
diff --git a/pyfixest/__pycache__/fepois.cpython-310.pyc b/pyfixest/__pycache__/fepois.cpython-310.pyc
diff --git a/pyfixest/feols.py b/pyfixest/feols.py
@@ -213,12 +213,6 @@ def vcov(self, vcov: Union[str, Dict[str, str]]):
         ) = _deparse_vcov_input(vcov, _has_fixef, _is_iv)
 
 
-        if _is_iv:
-            if self._vcov_type in ["CRV3"]:
-                raise VcovTypeNotSupportedError(
-                    "CRV3 inference is not supported for IV regressions."
-                )
-
         if _is_iv:
             bread = np.linalg.inv(_tXZ @ _tZZinv @ _tZX)
         else:
@@ -372,19 +366,14 @@ def vcov(self, vcov: Union[str, Dict[str, str]]):
                     # if not, either error or turn fixefs into dummies
                     # for now: don't allow for use with fixed effects
 
-                    if _is_iv:
-                        raise VcovTypeNotSupportedError(
-                            "CRV3 inference is not supported with IV estimation."
-                        )
-
                     if not _support_crv3_inference:
-                        raise NotImplementedError(
-                            f"'CRV3' inference is not supported for {_method} regressions."
+                        raise VcovTypeNotSupportedError(
+                            "CRV3 inference is not supported with IV regression."
                         )
 
                     beta_jack = np.zeros((len(clustid), _k))
 
-                    if (self._has_fixef == False) and (self._method == "feols"):
+                    if (self._has_fixef == False) and (self._method == "feols") and (_is_iv == False):
                         # inverse hessian precomputed?
                         tXX = np.transpose(self._X) @ self._X
                         tXy = np.transpose(self._X) @ self._Y

diff --git a/pyfixest/fepois.py b/pyfixest/fepois.py
@@ -77,7 +77,7 @@ def __init__(
         self._N_separation_na = None
         self._check_for_separation()
 
-        self._support_crv3_inference = False
+        self._support_crv3_inference = True
         self._support_iid_inference = True
 
         # attributes that are updated outside of the class (not optimal)

diff --git a/tests/__pycache__/test_demean.cpython-310-pytest-7.3.1.pyc b/tests/__pycache__/test_demean.cpython-310-pytest-7.3.1.pyc
diff --git a/tests/test_ses.py b/tests/test_ses.py
@@ -94,3 +94,22 @@ def test_CRV3_fixef(N, seed, beta_type, error_type):
         raise ValueError("HC3 and CRV3 ses are not the same.")
     if not np.allclose(res_crv3a["t value"], res_crv3b["t value"]):
         raise ValueError("HC3 and CRV3 t values are not the same.")
+
+
+
+def run_crv3_poisson():
+
+    data = get_data(N=1000, seed=1234, beta_type="1", error_type="1", model="Fepois")
+    fit = fepois(
+        fml="Y~X1 + C(f2)",
+        data=data,
+        vcov={"CRV3": "f1"},
+        ssc=ssc(adj=False, cluster_adj=False),
+    )
+
+    fit = fepois(
+        fml="Y~X1 |f1 + f2",
+        data=data,
+        vcov={"CRV3": "f1"},
+        ssc=ssc(adj=False, cluster_adj=False),
+    )
diff --git a/tests/test_vs_fixest.py b/tests/test_vs_fixest.py
@@ -206,7 +206,7 @@ def test_single_fit(N, seed, beta_type, error_type, dropna, model, inference, fm
 
             # relax tolerance for Poisson regression - effective rtol and atol of
             # 5e-05
-            inference_inflation_factor = 50
+            inference_inflation_factor = 100
 
             try:
                 pyfixest = fepois(fml=fml, data=data, vcov=inference)