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Description
Context
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()
andfepois()
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
offeols()
andfepois()
.