*! version 1.0 5 Dec 2023

Title

vce_mcov -- computes the Leave-Cluster-Out-Crossfit (LCOC) variance estimates for user-chosen coefficients in a linear regression model.

Syntax

vce_mcov
[if] [in]
[, numvars ...]

numvars Specify an integer k (default is 1). The first k independent variables from reg will have their variance estimates replaced.

Description

vce_mcov is an eclass command that can be used after running reg. It replaces the entries of the variance matrix (stored in e(V)) relating to user-chosen parameter(s) of inferential interest with the Leave-Cluster-Out-Crossfit (LCOC) estimates (see Anatolyev and Ng, 2024). All postestimation commands will work as usual.

References

Stanislav Anatolyev and Cheuk Fai Ng (2024), Cluster Robust Inference in Linear Regression Models with Many Covariates.

Stanislav Anatolyev (2019), Many instruments and/or regressors: a friendly guide, Journal of Economic Surveys, vol. 33, no. 2, pp. 689-726

Examples

Setup

. webuse nlsw88

. sort idcode

Regress wages on multiple covariates using reg. Note that vce(cluster clusvar) option must be speficied.

. reg wage c.tenure##c.ttl_exp i.collgrad i.union, vce(cluster idcode)

Replace the default robust estimates relating to the first three coefficients with the LCOC estimates.

. vce_mcov if idcode != ., numvars(3)

Authors

Stanislav Anatolyev, CERGE-EI, Prague, Czechia.

Email: stanislav.anatolyev@cerge-ei.cz

Cheuk Fai Ng, University of Cambridge, Cambridge, UK.

Email: cfn24@cam.ac.uk