conf_int {clubSandwich} | R Documentation |
conf_int
reports confidence intervals for each coefficient estimate in a fitted
linear regression model, using a sandwich estimator for the standard errors
and a small sample correction for the critical values. The small-sample correction is
based on a Satterthwaite approximation.
conf_int(obj, vcov, level = 0.95, test = "Satterthwaite", coefs = "All", ...)
obj |
Fitted model for which to calculate confidence intervals. |
vcov |
Variance covariance matrix estimated using |
level |
Desired coverage level for confidence intervals. |
test |
Character vector specifying which small-sample corrections to
calculate. |
coefs |
Character, integer, or logical vector specifying which
coefficients should be tested. The default value |
... |
Further arguments passed to |
A data frame containing estimated regression coefficients, standard errors, and confidence intervals.
data("Produc", package = "plm") lm_individual <- lm(log(gsp) ~ 0 + state + log(pcap) + log(pc) + log(emp) + unemp, data = Produc) individual_index <- !grepl("state", names(coef(lm_individual))) conf_int(lm_individual, vcov = "CR2", cluster = Produc$state, coefs = individual_index) V_CR2 <- vcovCR(lm_individual, cluster = Produc$state, type = "CR2") conf_int(lm_individual, vcov = V_CR2, level = .99, coefs = individual_index)