fwildclusterboot and sandwich::vcovBS

plm_bootstrap.R

library("plm")
data("Grunfeld", package = "plm")

## set some observations of the dependent variable to missing
Grunfeld$inv[Grunfeld$year<=1936] <- NA
fe <- plm(inv ~ value + capital, data = Grunfeld, model = "within")

library(sandwich)
sandwich::vcovBS(fe, cluster=~firm, R = 999) # errors
# Error in vcovBS.default(fe, cluster = ~firm, R = 999) : 
#  number of observations in 'cluster' and 'nobs()' do not match

## Workaround
Gr <- Grunfeld[complete.cases(Grunfeld), ] # workaround
fe2 <- plm(inv ~ value + capital, data = Gr, model = "within")

# works due to workaround (needs plm dev version 2023-04-15)
sandwich::vcovBS(fe2, cluster=~firm, R = 999)


## subset cases
Grunfeld$sample <- complete.cases(Grunfeld[ , c('inv', 'value', 'capital')])
fe_complete <- plm(inv ~ value + capital, data = Grunfeld, subset = Grunfeld$sample, model = "within")

## works with plm dev version / 2023-04-15)
sandwich::vcovBS(fe_complete, cluster=~firm, R = 999)


library(fwildclusterboot)
## case with dropped NA's
## fails, just like like sandwich::vcovBS
fe_wild <- boottest(fe, param="value",clustid=c("firm"),
                 B=101, type="rademacher", impose_null=TRUE, p_val_type="two-tailed")
summary(fe_wild)

## works due to workaround
fe_wild2 <- boottest(fe2, param="value",clustid=c("firm"),
                    B=101, type="rademacher", impose_null=TRUE, p_val_type="two-tailed")
summary(fe_wild2)
nobs(fe2)


## subset case
fe_wild_complete <- boottest(fe_complete, param="value",clustid=c("firm"),
                    B=101, type="rademacher", impose_null=TRUE, p_val_type="two-tailed")
summary(fe_wild_complete)

Ah, I just read the plm PR and realized that you are already aware of what is going on =)

Thank you! Yes, somewhat ;). Proper na.action implemenation "was long on the list"...

(Ref: ycroissant/plm#44)