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Docs: Document Inference Defaults in quickstart.ipynb and docstrings #285

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@s3alfisc

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Currently, the documentation is silent on standard error defaults - would be good to add notes to the feols() and fepois() docs.

In alignment with fixest, the behavior is the following:

  • If no fixed effect is specified to be projected out, feols() and fepois() return "iid" standard errors.
  • If one (or more) fixed effects are specified via formula syntax, inference is clustered by the first fixed effect (CRV1 inference).
feols("Y ~ X + C(f1)", data = data) # no fixed effect specified via two-part formula syntax -> iid inference
feols("Y ~ X | f1", data = data) # fixed effect specified via two-part formula syntax -> CRV1 inference clustered by f1
feols("Y ~ X | f1 + f2", data = data) # two fixed effects specified via two-part formula syntax -> CRV1 inference clustered by the first fixed effect f1

To do

  • Add this information to the standard error section in the quickstart notebook.
  • Add this information to the docstrings of the vcov of feols() and fepois().

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