vcov argument not supported for plm models (#912)

* `vcov` argument not supported for `plm` models Fixes #911 * add tests * update snapshots * Update test-plm.R * update wordlist * lintr
easystats · Oct 24, 2023 · 21dcad5 · 21dcad5
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diff --git a/DESCRIPTION b/DESCRIPTION
@@ -1,7 +1,7 @@
 Type: Package
 Package: parameters
 Title: Processing of Model Parameters
-Version: 0.21.2.9
+Version: 0.21.2.10
 Authors@R:
     c(person(given = "Daniel",
              family = "Lüdecke",

diff --git a/NEWS.md b/NEWS.md
@@ -23,6 +23,8 @@
 
 * Minor fixes for `print_html()` method for `model_parameters()`.
 
+* Robust standard errors (argument `vcov`) now works for `plm` models.
+
 # parameters 0.21.2
 
 ## Changes

diff --git a/R/methods_plm.R b/R/methods_plm.R
@@ -15,12 +15,41 @@ degrees_of_freedom.plm <- function(model, method = "wald", ...) {
 
 
 #' @export
-standard_error.plm <- function(model, ...) {
-  se <- stats::coef(summary(model))
+standard_error.plm <- function(model, vcov = NULL, vcov_args = NULL, verbose = TRUE, ...) {
+  dots <- list(...)
+  se <- NULL
+  se_standard <- stats::coef(summary(model))
+
+  # vcov: matrix
+  if (is.matrix(vcov)) {
+    se <- sqrt(diag(vcov))
+  }
+
+  # vcov: function which returns a matrix
+  if (is.function(vcov)) {
+    args <- c(list(model), vcov_args, dots)
+    se <- .safe(sqrt(diag(do.call("vcov", args))))
+  }
+
+  # vcov: character (with backward compatibility for `robust = TRUE`)
+  if (is.character(vcov) || isTRUE(dots[["robust"]])) {
+    .vcov <- insight::get_varcov(
+      model,
+      vcov = vcov,
+      vcov_args = vcov_args,
+      verbose = verbose,
+      ...
+    )
+    se <- sqrt(diag(.vcov))
+  }
+
+  if (is.null(se)) {
+    se <- as.vector(se_standard[, 2])
+  }
 
   .data_frame(
-    Parameter = .remove_backticks_from_string(rownames(se)),
-    SE = as.vector(se[, 2])
+    Parameter = .remove_backticks_from_string(rownames(se_standard)),
+    SE = se
   )
 }
 
@@ -106,10 +135,10 @@ standard_error.pgmm <- function(model, component = c("conditional", "all"), ...)
 
 #' @export
 ci.pgmm <- function(x, ci = 0.95, dof = Inf, method = NULL, component = "conditional", ...) {
-  if (!is.null(method)) {
-    method <- tolower(method)
-  } else {
+  if (is.null(method)) {
     method <- "wald"
+  } else {
+    method <- tolower(method)
   }
 
   .ci_generic(model = x, ci = ci, dof = dof, method = method, component = component)

diff --git a/inst/WORDLIST b/inst/WORDLIST
@@ -39,6 +39,7 @@ DoFs
 Dom
 Dupont
 EFA
+EGAnet
 ESS
 Eingenvalues
 Eivenvalues

diff --git a/tests/testthat/_snaps/glmer.md b/tests/testthat/_snaps/glmer.md
@@ -11,7 +11,7 @@
       period [2]  |    -0.98 | 0.30 | [-1.57, -0.38] | -3.22 | 0.001 
       period [3]  |    -1.11 | 0.32 | [-1.75, -0.48] | -3.43 | < .001
       period [4]  |    -1.56 | 0.42 | [-2.39, -0.73] | -3.67 | < .001
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald z-distribution approximation.
@@ -38,7 +38,7 @@
       Parameter            | Coefficient
       ----------------------------------
       SD (Intercept: herd) |        0.64
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald z-distribution approximation.
@@ -62,7 +62,7 @@
       Parameter            | Coefficient |   SE |       95% CI
       --------------------------------------------------------
       SD (Intercept: herd) |        0.64 | 0.18 | [0.37, 1.11]
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald z-distribution approximation.

diff --git a/tests/testthat/_snaps/glmmTMB-profile_CI.md b/tests/testthat/_snaps/glmmTMB-profile_CI.md
@@ -18,7 +18,7 @@
       SD (Days: Subject)            |        5.72 | [ 3.81,  8.59]
       Cor (Intercept~Days: Subject) |        0.08 | [-0.49,  0.59]
       SD (Residual)                 |       25.59 | [22.80, 28.72]
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (profile-likelihood) and p-values (two-tailed)
         computed using a Wald z-distribution approximation. Uncertainty
@@ -45,7 +45,7 @@
       SD (Days: Subject)            |        5.72 | [ 3.81,  8.59]
       Cor (Intercept~Days: Subject) |        0.08 | [-0.49,  0.59]
       SD (Residual)                 |       25.59 | [22.80, 28.72]
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (profile-likelihood) and p-values (two-tailed)
         computed using a Wald z-distribution approximation. Uncertainty

diff --git a/tests/testthat/_snaps/ivreg.md b/tests/testthat/_snaps/ivreg.md
@@ -10,7 +10,7 @@
       (Intercept)   |        9.89 | 1.06 | [ 7.76, 12.03] |  9.35 | < .001
       rprice [log]  |       -1.28 | 0.26 | [-1.81, -0.75] | -4.85 | < .001
       rincome [log] |        0.28 | 0.24 | [-0.20,  0.76] |  1.18 | 0.246 
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald t-distribution approximation.

diff --git a/tests/testthat/_snaps/mipo.md b/tests/testthat/_snaps/mipo.md
@@ -18,7 +18,7 @@
       (Intercept) |      -92.86 | 67.62 | [-232.47, 46.75] |     -1.37 | 23.87 | 0.182
       disp        |        0.26 |  0.40 | [  -0.57,  1.09] |      0.64 | 23.53 | 0.528
       hp          |        0.43 |  0.63 | [  -0.88,  1.73] |      0.67 | 24.15 | 0.507
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald distribution approximation.
@@ -35,7 +35,7 @@
       (Intercept) |       30.65 |     1.43 | [27.72, 33.58] |     21.46 | 26.96 | < .001
       disp        |       -0.03 | 7.52e-03 | [-0.05, -0.02] |     -4.40 | 25.57 | < .001
       hp          |       -0.02 |     0.01 | [-0.05,  0.01] |     -1.37 | 24.82 | 0.182 
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald distribution approximation.

diff --git a/tests/testthat/_snaps/model_parameters.fixest.md b/tests/testthat/_snaps/model_parameters.fixest.md
@@ -0,0 +1,16 @@
+# model_parameters.fixest
+
+    Code
+      model_parameters(m1, summary = TRUE, verbose = FALSE)
+    Output
+      # Fixed Effects
+      
+      Parameter | Coefficient |   SE |         95% CI | t(187) |      p
+      -----------------------------------------------------------------
+      time      |        1.09 | 0.67 | [-0.23,  2.41] |   1.63 | 0.106 
+      phq4      |       -3.66 | 0.67 | [-4.98, -2.34] |  -5.45 | < .001
+      
+      Model: QoL ~ time + phq4 (564 Observations)
+      Residual standard deviation: 12.365 (df = 561)
+      r2: 0.743; ar2: 0.613; wr2: 0.180; war2: 0.175
+
diff --git a/tests/testthat/_snaps/model_parameters.fixest_multi.md b/tests/testthat/_snaps/model_parameters.fixest_multi.md
@@ -44,7 +44,7 @@
       x            |        0.03 | 0.04 | [-0.15, 0.22] |  0.81 | 0.502
       Petal.Length |       -0.04 | 0.19 | [-0.85, 0.78] | -0.20 | 0.858
       Sepal.Length |        0.37 | 0.20 | [-0.49, 1.23] |  1.86 | 0.205
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald t-distribution approximation.
@@ -99,7 +99,7 @@
       ----------------------------------------------------------------
       x            |        0.04 | 0.06 | [-0.22, 0.31] | 0.71 | 0.553
       Petal Length |        0.30 | 0.06 | [ 0.05, 0.54] | 5.15 | 0.036
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald t-distribution approximation.
@@ -140,7 +140,7 @@
       x            |        0.01 | 0.02 | [-0.07, 0.10] |  0.74 | 0.539
       Petal.Length |        0.23 | 0.08 | [-0.11, 0.58] |  2.93 | 0.099
       Sepal.Length |   -4.24e-03 | 0.03 | [-0.14, 0.13] | -0.13 | 0.906
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald t-distribution approximation.

diff --git a/tests/testthat/_snaps/model_parameters.glm.md b/tests/testthat/_snaps/model_parameters.glm.md
@@ -31,7 +31,7 @@
       ---------------------------------------------------------------------------
       (Intercept) |           245.48 | 46.72 | [173.66, 351.67] |  28.92 | < .001
       u [log]     |             0.55 |  0.03 | [  0.49,   0.61] | -10.88 | < .001
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (profile-likelihood) and p-values (two-tailed)
         computed using a Wald t-distribution approximation.

diff --git a/tests/testthat/_snaps/model_parameters.mclogit.md b/tests/testthat/_snaps/model_parameters.mclogit.md
@@ -7,7 +7,7 @@
       --------------------------------------------------------------
       distance  |    -1.44 | 0.05 | [-1.54, -1.34] | -27.07 | < .001
       cost      |    -0.98 | 0.04 | [-1.06, -0.90] | -24.52 | < .001
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald z-distribution approximation.
@@ -40,7 +40,7 @@
       TypeAtrium    |    -0.41 | 0.21 | [-0.82,  0.01] | -1.93 | 0.054 
       TypeTerrace   |    -1.41 | 0.20 | [-1.80, -1.02] | -7.06 | < .001
       ContHigh      |     0.48 | 0.12 | [ 0.24,  0.73] |  3.88 | < .001
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald z-distribution approximation.

diff --git a/tests/testthat/_snaps/model_parameters.mixed.md b/tests/testthat/_snaps/model_parameters.mixed.md
@@ -19,7 +19,7 @@
       Parameter    | Coefficient |   SE |         95% CI | t(558) |      p
       --------------------------------------------------------------------
       phq4 between |       -6.28 | 0.50 | [-7.27, -5.30] | -12.53 | < .001
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald t-distribution approximation.
@@ -42,7 +42,7 @@
       --------------------------------------------------------
       SD (Intercept: gear) |        0.27 | 0.24 | [0.05, 1.54]
       SD (Residual)        |        0.59 | 0.08 | [0.46, 0.77]
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald t-distribution approximation. Uncertainty intervals for
@@ -64,7 +64,7 @@
       Model: wt ~ cyl (32 Observations)
       Residual standard deviation: 0.594 (df = 28)
       Conditional R2: 0.628; Marginal R2: 0.550
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald t-distribution approximation.

diff --git a/tests/testthat/_snaps/model_parameters_ordinal.md b/tests/testthat/_snaps/model_parameters_ordinal.md
@@ -24,7 +24,7 @@
       Parameter  | Estimate |   SE |       95% CI |     z |      p
       ------------------------------------------------------------
       Stim [Old] |    -0.04 | 0.04 | [0.47, 0.63] | 13.64 | < .001
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald z-distribution approximation.
@@ -55,7 +55,7 @@
       Parameter  | Estimate |   SE |        95% CI |     z |     p
       ------------------------------------------------------------
       Stim [Old] |    -0.04 | 0.04 | [-0.12, 0.04] | -1.11 | 0.268
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald z-distribution approximation.

diff --git a/tests/testthat/_snaps/plm.md b/tests/testthat/_snaps/plm.md
@@ -0,0 +1,34 @@
+# vcov standard errors
+
+    Code
+      print(model_parameters(ran))
+    Output
+      # Fixed Effects
+      
+      Parameter   | Coefficient |     SE |            95% CI |     z |  df |      p
+      -----------------------------------------------------------------------------
+      (Intercept) |      817.10 | 188.26 | [445.84, 1188.36] |  4.34 | 197 | < .001
+      capital     |       -0.58 |   0.15 | [ -0.88,   -0.29] | -3.95 | 197 | < .001
+      inv         |        2.92 |   0.30 | [  2.33,    3.51] |  9.80 | 197 | < .001
+    Message
+      
+      Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
+        using a Wald z-distribution approximation.
+
+---
+
+    Code
+      print(model_parameters(ran, vcov = "HC1"))
+    Output
+      # Fixed Effects
+      
+      Parameter   | Coefficient |     SE |            95% CI |     z |  df |     p
+      ----------------------------------------------------------------------------
+      (Intercept) |      817.10 | 274.75 | [275.28, 1358.92] |  2.97 | 197 | 0.003
+      capital     |       -0.58 |   0.43 | [ -1.43,    0.26] | -1.37 | 197 | 0.173
+      inv         |        2.92 |   0.89 | [  1.16,    4.67] |  3.28 | 197 | 0.001
+    Message
+      
+      Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
+        using a Wald z-distribution approximation.
+
diff --git a/tests/testthat/_snaps/pool_parameters.md b/tests/testthat/_snaps/pool_parameters.md
@@ -12,7 +12,7 @@
       age [60-99] |       -6.71 | 3.84 | [-17.75,  4.34] |     -1.75 |  3.67 | 0.162
       hyp [yes]   |        1.52 | 2.26 | [ -3.49,  6.54] |      0.67 | 10.26 | 0.515
       chl         |        0.06 | 0.03 | [ -0.01,  0.12] |      2.11 |  6.44 | 0.077
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a Wald distribution approximation.

diff --git a/tests/testthat/_snaps/printing-stan.md b/tests/testthat/_snaps/printing-stan.md
@@ -16,7 +16,7 @@
       Parameter | Mean |       95% CI |   pd |  Rhat |     ESS
       --------------------------------------------------------
       sigma     | 2.67 | [2.06, 3.51] | 100% | 1.000 | 2390.00
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a MCMC distribution approximation.
@@ -47,7 +47,7 @@
       SD (Intercept: gear)     |  3.88 | [ 0.21, 10.30] |   100% | 1.010 | 424.00
       SD (wt: gear)            |  1.96 | [ 0.06,  5.06] |   100% | 1.385 |   9.00
       Cor (Intercept~wt: gear) | -0.25 | [-0.99,  0.83] | 62.48% | 1.106 |  36.00
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a MCMC distribution approximation.
@@ -77,7 +77,7 @@
       SD (Intercept: Subject)       | 26.63 | [15.46, 42.36] |   100% | 1.002 | 1823.00
       SD (Days: Subject)            |  6.58 | [ 4.12, 10.16] |   100% | 1.000 | 1228.00
       Cor (Intercept~Days: Subject) |  0.09 | [-0.47,  0.67] | 60.42% | 1.003 |  899.00
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a MCMC distribution approximation.
@@ -107,7 +107,7 @@
       SD (Intercept: grp)        |  8.22 | [ 0.44, 25.69] | 100% | 1.000 | 1604.00
       SD (Intercept: grp:subgrp) |  7.41 | [ 0.44, 16.87] | 100% | 1.003 |  770.00
       SD (Intercept: Subject)    | 38.51 | [26.89, 55.98] | 100% | 1.003 | 1254.00
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a MCMC distribution approximation.
@@ -135,7 +135,7 @@
       Parameter               | Mean |       95% CI |   pd |  Rhat |    ESS
       ---------------------------------------------------------------------
       SD (Intercept: Species) | 1.68 | [0.64, 3.64] | 100% | 1.003 | 796.00
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a MCMC distribution approximation.
@@ -166,7 +166,7 @@
       SD (Intercept: gear)     |  3.76 | [ 0.14, 10.13] |   100% | 1.015 | 643.00
       SD (wt: gear)            |  1.47 | [ 0.06,  3.96] |   100% | 1.039 |  94.00
       Cor (Intercept~wt: gear) | -0.38 | [-0.99,  0.82] | 76.85% | 1.003 | 854.00
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a MCMC distribution approximation.
@@ -236,7 +236,7 @@
       Intercept[1] | -38.42 | [-67.76, -19.66] | 100% | 1.002 |  992.00
       Intercept[2] | -33.26 | [-59.09, -16.53] | 100% | 1.001 | 1039.00
       mpg          |  -1.80 | [ -3.20,  -0.90] | 100% | 1.002 | 1021.00
-    Message <simpleMessage>
+    Message
       
       Uncertainty intervals (equal-tailed) and p-values (two-tailed) computed
         using a MCMC distribution approximation.
-Original file line number
+Diff line change
@@ Expand Up / @@ -39,6 +39,7 @@ DoFs @@
     Dom
     Dupont
     EFA
+    EGAnet
     ESS
     Eingenvalues
     Eivenvalues
@@ Expand Down @@