User provided vcov for multiple models

[sousaru]

From the vignette I cannot find a way to provide user estimated vcov matrices for multiple models - included as a list. I would assume that providing a list of matrices should work but it throws an error. Is there an alternative to use user provided vcovs for multiple models or is this feature not implemented?

Thanks a lot!

[kylebutts]

Here is how you can do this in user-space. Though, passing a list of vcovs does seem like a reasonable thing to be able to do.

library(fixest)
est <- feols(c(hp, mpg) ~ i(cyl), mtcars)
est
#> Standard-errors: IID 
#> Dep. var.: hp
#>             Estimate Std. Error t value   Pr(>|t|)    
#> (Intercept)  82.6364    11.4328 7.22799 5.8642e-08 ***
#> cyl::6       39.6494    18.3333 2.16269 3.8949e-02 *  
#> cyl::8      126.5779    15.2778 8.28511 3.9151e-09 ***
#> ---
#> Dep. var.: mpg
#>              Estimate Std. Error  t value   Pr(>|t|)    
#> (Intercept)  26.66364   0.971801 27.43735  < 2.2e-16 ***
#> cyl::6       -6.92078   1.558348 -4.44110 1.1947e-04 ***
#> cyl::8      -11.56364   1.298623 -8.90453 8.5682e-10 ***
custom_vcovs <- list(
  2 * vcov(est[[1]], "HC1"),
  2 * vcov(est[[2]], "HC1")
)

for (i in 1:length(est)) { 
  est[[i]] <- summary(est[[i]], .vcov = custom_vcovs[[i]])
}

est
#> Standard-errors: Custom 
#> Dep. var.: hp
#>             Estimate Std. Error t value   Pr(>|t|)    
#> (Intercept)  82.6364    8.94049 9.24293 3.8165e-10 ***
#> cyl::6       39.6494   15.45909 2.56479 1.5764e-02 *  
#> cyl::8      126.5779   21.45486 5.89973 2.0979e-06 ***
#> ---
#> Dep. var.: mpg
#>              Estimate Std. Error  t value   Pr(>|t|)    
#> (Intercept)  26.66364    1.92601 13.84399 2.6085e-14 ***
#> cyl::6       -6.92078    2.06893 -3.34510 2.2843e-03 ** 
#> cyl::8      -11.56364    2.16075 -5.35168 9.5467e-06 ***

^{Created on 2025-02-19 with reprex v2.1.1}