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(math/R-sandwich) Updated 3.0.1 to 3.0.2

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# 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.
This commit is contained in:
mef 2023-06-08 16:04:37 +00:00
parent 90615834a4
commit b8ecce647c
2 changed files with 6 additions and 6 deletions
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4
math/R-sandwich/Makefile
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@ -1,7 +1,7 @@
# $NetBSD: Makefile,v 1.3 2021/09/18 11:43:01 mef Exp $
# $NetBSD: Makefile,v 1.4 2023/06/08 16:04:37 mef Exp $
R_PKGNAME= sandwich
R_PKGVER= 3.0-1
R_PKGVER= 3.0-2
MAINTAINER= pkgsrc-users@NetBSD.org
COMMENT= Robust covariance matrix estimators

8
math/R-sandwich/distinfo
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@ -1,5 +1,5 @@
$NetBSD: distinfo,v 1.4 2021/10/26 10:55:32 nia Exp $
$NetBSD: distinfo,v 1.5 2023/06/08 16:04:37 mef Exp $
BLAKE2s (R/sandwich_3.0-1.tar.gz) = 7decddb372c549eca5794ac9e40414589aad4e3c63596c7601ce1a5ce96dda45
SHA512 (R/sandwich_3.0-1.tar.gz) = fa2117c0d357aea85bab3468789739e218d87552535a8c5aaabb5c1191883304dfd8ac5109d7104ab15fd4535c5f1f4de88a5779ad1e573efc73b0ae567c6769
Size (R/sandwich_3.0-1.tar.gz) = 1482805 bytes
BLAKE2s (R/sandwich_3.0-2.tar.gz) = 45c7528495740b82247587bcae6db68c0dccacc0ba9433445487698d3916ce4e
SHA512 (R/sandwich_3.0-2.tar.gz) = 6a976554df87a6776be9209c1680864be91c8b35a95482cc065151a05fe970c7833a87c896986674eb6c166ff14a85b90c4d54980e1e56aaecf62b37c3223d88
Size (R/sandwich_3.0-2.tar.gz) = 1356080 bytes