Skip to content

Commit

Permalink
actually update readme
Browse files Browse the repository at this point in the history
  • Loading branch information
s3alfisc committed Jan 24, 2023
1 parent 765c743 commit 3256b16
Showing 1 changed file with 8 additions and 15 deletions.
23 changes: 8 additions & 15 deletions README.md
Original file line number Diff line number Diff line change
Expand Up @@ -22,7 +22,7 @@ thoroughly tested.

Because the bootstrap-resampling is based on the
[fwildclusterboot](https://github.com/s3alfisc/fwildclusterboot)
package, `wildwyoung` is usually really fast.
package, `wildrwolf` is usually really fast.

The package is complementary to
[wildwyoung](https://github.com/s3alfisc/wildwyoung), which implements
Expand Down Expand Up @@ -145,8 +145,8 @@ summary(res_rwolf)

## Performance

The above procedures with `S=8` hypotheses, `N=5000` observations and
`k %in% (1,2)` parameters finish each in around 3.5 seconds.
The above procedure with `S=8` hypotheses, `N=5000` observations and
`k %in% (1,2)` parameters finises in around 3.5 seconds.

``` r
if(requireNamespace("microbenchmark")){
Expand All @@ -172,22 +172,15 @@ if(requireNamespace("microbenchmark")){

We test $S=6$ hypotheses and generate data as

$$
Y_{i,s,g} = \beta_{0} + \beta_{1,s} D_{i} + u_{i,g} + \epsilon_{i,s}
$$ where $D_i = 1(U_i > 0.5)$ and $U_i$ is drawn from a uniform
$$Y_{i,s,g} = \beta_{0} + \beta_{1,s} D_{i} + u_{i,g} + \epsilon_{i,s} $$
where $D_i = 1(U_i > 0.5)$ and $U_i$ is drawn from a uniform
distribution, $u_{i,g}$ is a cluster level shock with intra-cluster
correlation $0.5$, and the idiosyncratic error term is drawn from a
multivariate random normal distribution with mean $0_S$ and covariance
matrix

$$
\Sigma = \begin{bmatrix}
1 & \rho & \dots & \rho \\
\rho & 1 & \dots \rho \\
\vdots & \vdots & \ddots & \vdots \\
\rho & \rho & \rho & 1 \\
\end{bmatrix}
$$ with $\rho \geq 0$. We assume that $\beta_{1,s}= 0$ for all $s$.
$$\Sigma = \begin{bmatrix} 1 & \rho & \dots & \rho \\ \rho & 1 & \dots \rho \\\vdots & \vdots & \ddots & \vdots \\\rho & \rho & \rho & 1 \\ \end{bmatrix}$$
with $\rho \geq 0$. We assume that $\beta_{1,s}= 0$ for all $s$.

This experiment imposes a data generating process as in equation (9) in
[Clarke, Romano and Wolf](https://docs.iza.org/dp12845.pdf), with an
Expand Down Expand Up @@ -217,7 +210,7 @@ res
#> reject_5 reject_10 rho
#> fit_pvalue 0.259 0.456 0.5
#> fit_pvalue_holm 0.043 0.095 0.5
#> fit_padjust_rw 0.043 0.092 0.5
#> fit_padjust_rw 0.041 0.093 0.5
```

<!-- ## Comparison with Stata's rwolf package -->
Expand Down

0 comments on commit 3256b16

Please sign in to comment.