1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230
|
#' @title Standard Errors
#' @name standard_error
#'
#' @description `standard_error()` attempts to return standard errors of model
#' parameters.
#'
#' @param model A model.
#' @param force Logical, if `TRUE`, factors are converted to numerical
#' values to calculate the standard error, with the lowest level being the
#' value `1` (unless the factor has numeric levels, which are converted
#' to the corresponding numeric value). By default, `NA` is returned for
#' factors or character vectors.
#' @param vcov Variance-covariance matrix used to compute uncertainty estimates
#' (e.g., for robust standard errors). This argument accepts a covariance
#' matrix, a function which returns a covariance matrix, or a string which
#' identifies the function to be used to compute the covariance matrix.
#' * A covariance matrix
#' * A function which returns a covariance matrix (e.g., `stats::vcov()`)
#' * A string which indicates the kind of uncertainty estimates to return.
#' - Heteroskedasticity-consistent: `"HC"`, `"HC0"`, `"HC1"`, `"HC2"`,
#' `"HC3"`, `"HC4"`, `"HC4m"`, `"HC5"`. See `?sandwich::vcovHC`
#' - Cluster-robust: `"CR"`, `"CR0"`, `"CR1"`, `"CR1p"`, `"CR1S"`,
#' `"CR2"`, `"CR3"`. See `?clubSandwich::vcovCR`
#' - Bootstrap: `"BS"`, `"xy"`, `"residual"`, `"wild"`, `"mammen"`,
#' `"fractional"`, `"jackknife"`, `"norm"`, `"webb"`. See
#' `?sandwich::vcovBS`
#' - Other `sandwich` package functions: `"HAC"`, `"PC"`, `"CL"`, `"OPG"`,
#' `"PL"`.
#' @param vcov_args List of arguments to be passed to the function identified by
#' the `vcov` argument. This function is typically supplied by the
#' **sandwich** or **clubSandwich** packages. Please refer to their
#' documentation (e.g., `?sandwich::vcovHAC`) to see the list of available
#' arguments. If no estimation type (argument `type`) is given, the default
#' type for `"HC"` equals the default from the **sandwich** package; for type
#' `"CR"`, the default is set to `"CR3"`.
#' @param effects Should standard errors for fixed effects (`"fixed"`), random
#' effects (`"random"`), or both (`"all"`) be returned? Only applies
#' to mixed models. May be abbreviated. When standard errors for random
#' effects are requested, for each grouping factor a list of standard errors
#' (per group level) for random intercepts and slopes is returned.
#' @param component Model component for which standard errors should be shown.
#' See the documentation for your object's class in [`model_parameters()`] or
#' [`p_value()`] for further details.
#' @inheritParams simulate_model
#' @inheritParams p_value
#' @param ... Arguments passed to or from other methods.
#'
#' @note For Bayesian models (from **rstanarm** or **brms**), the standard
#' error is the SD of the posterior samples.
#'
#' @return A data frame with at least two columns: the parameter names and the
#' standard errors. Depending on the model, may also include columns for model
#' components etc.
#'
#' @examplesIf require("sandwich") && require("clubSandwich")
#' model <- lm(Petal.Length ~ Sepal.Length * Species, data = iris)
#' standard_error(model)
#'
#' # robust standard errors
#' standard_error(model, vcov = "HC3")
#'
#' # cluster-robust standard errors
#' standard_error(model,
#' vcov = "vcovCL",
#' vcov_args = list(cluster = iris$Species)
#' )
#' @export
standard_error <- function(model, ...) {
UseMethod("standard_error")
}
# Default methods ---------------------------------------------------------
#' @rdname standard_error
#' @export
standard_error.default <- function(model,
effects = "fixed",
component = "all",
vcov = NULL,
vcov_args = NULL,
verbose = TRUE,
...) {
# check for valid input
.is_model_valid(model)
dots <- list(...)
se <- NULL
# if a vcov is provided, we calculate standard errors based on that matrix
# this is usually the case for HC (robust) standard errors
# ------------------------------------------------------------------------
# vcov: matrix
if (is.matrix(vcov)) {
se <- sqrt(diag(vcov))
}
# vcov: function which returns a matrix
if (is.function(vcov)) {
fun_args <- c(list(model), vcov_args, dots)
se <- .safe(sqrt(diag(do.call("vcov", fun_args))))
}
# vcov: character
if (is.character(vcov)) {
.vcov <- insight::get_varcov(
model,
component = component,
vcov = vcov,
vcov_args = vcov_args,
verbose = verbose,
...
)
se <- sqrt(diag(.vcov))
}
# classical SE from summary()
# ------------------------------------------------------------------------
if (is.null(se)) {
se <- .safe({
if (grepl("Zelig-", class(model)[1], fixed = TRUE)) {
unlist(model$get_se())
} else {
.get_se_from_summary(model)
}
})
}
# if retrieving SE from summary() failed, we try to calculate SE based
# on classical se from get_varcov()
# ------------------------------------------------------------------------
if (is.null(se)) {
se <- .safe({
varcov <- insight::get_varcov(model, component = component)
se_from_varcov <- sqrt(diag(varcov))
names(se_from_varcov) <- colnames(varcov)
se_from_varcov
})
}
# output
if (is.null(se)) {
if (isTRUE(verbose)) {
insight::format_warning("Could not extract standard errors from model object.")
}
} else {
params <- insight::get_parameters(model, component = component)
if (length(se) == nrow(params) && "Component" %in% colnames(params)) {
se <- .data_frame(Parameter = params$Parameter, SE = as.vector(se), Component = params$Component)
} else {
se <- .data_frame(Parameter = names(se), SE = as.vector(se))
}
}
se
}
# helper -----------------------------------------------------------------
.get_se_from_summary <- function(model, component = NULL) {
cs <- .safe(suppressWarnings(stats::coef(summary(model))))
se <- NULL
if (is.list(cs) && !is.null(component)) {
cs <- cs[[component]]
}
if (!is.null(cs)) {
# do we have a se column?
se_col <- which(colnames(cs) == "Std. Error")
# if not, default to 2
if (length(se_col) == 0) {
se_col <- 2
}
se <- as.vector(cs[, se_col])
if (is.null(names(se))) {
coef_names <- rownames(cs)
if (length(coef_names) == length(se)) {
names(se) <- coef_names
}
}
}
names(se) <- .remove_backticks_from_string(names(se))
se
}
.check_vcov_args <- function(robust, ...) {
dots <- list(...)
isTRUE(isTRUE(robust) || isTRUE(dots$robust) || ("vcov" %in% names(dots) && !is.null(dots[["vcov"]])))
}
# .ranef_se <- function(x) {
# insight::check_if_installed("lme4")
#
# cc <- stats::coef(model)
#
# # get names of intercepts
# inames <- names(cc)
#
# # variances of fixed effects
# fixed.vars <- diag(as.matrix(stats::vcov(model)))
#
# # extract variances of conditional modes
# r1 <- lme4::ranef(model, condVar = TRUE)
#
# # we may have multiple random intercepts, iterate all
# se.merMod <- lapply(1:length(cc), function(i) {
# cmode.vars <- t(apply(attr(r1[[i]], "postVar"), 3, diag))
# seVals <- sqrt(sweep(cmode.vars, 2, fixed.vars[names(r1[[i]])], "+", check.margin = FALSE))
#
# if (length(r1[[i]]) == 1) {
# seVals <- as.data.frame(t(seVals))
# stats::setNames(seVals, names(r1[[i]]))
# } else {
# seVals <- seVals[, 1:2]
# stats::setNames(as.data.frame(seVals), names(r1[[i]]))
# }
# })
#
# # set names of list
# names(se.merMod) <- inames
#
# se.merMod
# }
|