Thu Jun 8 16:04:37 2023 UTC ()
(math/R-sandwich) Updated 3.0.1 to 3.0.2
# 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.
(mef)
diff -r1.3 -r1.4 pkgsrc/math/R-sandwich/Makefile
diff -r1.4 -r1.5 pkgsrc/math/R-sandwich/distinfo
--- pkgsrc/math/R-sandwich/Makefile 2021/09/18 11:43:01 1.3
+++ pkgsrc/math/R-sandwich/Makefile 2023/06/08 16:04:37 1.4
@@ -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
--- pkgsrc/math/R-sandwich/distinfo 2021/10/26 10:55:32 1.4
+++ pkgsrc/math/R-sandwich/distinfo 2023/06/08 16:04:37 1.5
@@ -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
+BLAKE2s (R/sandwich_3.0-2.tar.gz) = 45c7528495740b82247587bcae6db68c0dccacc0ba9433445487698d3916ce4e
-SHA512 (R/sandwich_3.0-1.tar.gz) = fa2117c0d357aea85bab3468789739e218d87552535a8c5aaabb5c1191883304dfd8ac5109d7104ab15fd4535c5f1f4de88a5779ad1e573efc73b0ae567c6769
+SHA512 (R/sandwich_3.0-2.tar.gz) = 6a976554df87a6776be9209c1680864be91c8b35a95482cc065151a05fe970c7833a87c896986674eb6c166ff14a85b90c4d54980e1e56aaecf62b37c3223d88
-Size (R/sandwich_3.0-1.tar.gz) = 1482805 bytes
+Size (R/sandwich_3.0-2.tar.gz) = 1356080 bytes