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Add updates to wald_test method and unit testing files #536
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729d3fd
Update Wald Test and add testing py files
Jayhyung d7836f8
Merge branch 'dev2' of https://github.com/Jayhyung/pyfixest into dev2
Jayhyung 52d9510
Update minor changes to wald test and unit testing
Jayhyung 55b2df0
Merge branch 'py-econometrics:master' into dev2
Jayhyung 3c73b78
Add wald-test case and rename tests
Jayhyung c5ca1e0
Minor changes
Jayhyung 8eec5d1
Add an wald-test usage example
Jayhyung 9783181
Add minor changes to test cases and usage example.
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Is it standard to include the fixed effects in the dof computation? I am actually not sure about this and will take a look at the
fixest
docs!There was a problem hiding this comment.
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Oh sorry for the late reply, I didn't notice your comment until now. According to my impression of
clubSanwich
package, the fixed effects didn't change anything related with the inference part(it was just like demeaning the whole dataset and implementing estimation on this demeaned data and then doing inference). I will take a close look at this and update if serious corrections are necessary(I will PR this if they really are)There was a problem hiding this comment.
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No worries - this is at least what
fixest
seems to be doing (see the function I posted somewhere in the PR) =) I thinkclubSandwich
is not supporting fixed effects / fixest as far as I am aware (due to difficulties computing CRV2 and CRV3 vcov's with fixed effects I believe) - so I am afraid your chances to find anything there are probably not super big :/There was a problem hiding this comment.
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ah, I actually meant to say
fixest
. Thanks for letting me know. :)