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Add support for vcovHC for package glmmTMB
#1152
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Summary of Changes
Hello @strengejacke, I'm Gemini Code Assist1! I'm currently reviewing this pull request and will post my feedback shortly. In the meantime, here's a summary to help you and other reviewers quickly get up to speed!
This pull request significantly enhances the parameters package's capabilities for glmmTMB models by integrating support for robust variance-covariance matrix estimation. The changes allow users to specify various types of robust standard errors, such as heteroskedasticity-consistent (vcovHC), cluster-robust, and bootstrap-based methods. This improves the reliability of statistical inference by providing more accurate standard errors and p-values, particularly in situations where model assumptions might not hold. The update includes modifications to core parameter and standard error extraction functions, along with comprehensive documentation for the new features.
Highlights
- Enhanced Parameter Estimation with Robust Variance-Covariance: The core functionality of the
model_parameters.glmmTMBfunction has been extended to acceptvcovandvcov_argsparameters. This allows users to specify custom or robust variance-covariance matrices for parameter estimation, enhancing the flexibility and robustness of statistical inference. - Robust P-Value and Standard Error Calculation: New methods have been introduced for
p_value.glmmTMBandstandard_error.glmmTMBthat leverage the newvcovandvcov_argsparameters. This enables the calculation of robust p-values and standard errors, which are crucial for reliable inference, especially when assumptions about error distributions are violated. - Introduction of Internal Robust Standard Error Helper: An internal helper function,
.se_robust_glmmTMB, has been added to encapsulate the logic for computing robust standard errors. This promotes code reusability and maintainability for robust estimation across different functions. - Dependency and Version Updates: The
DESCRIPTIONfile has been updated to reflect a new package version and increased minimum version requirements for key dependencies likeinsight,glmmTMB, andtinytable, ensuring compatibility and access to necessary features for the new functionality. - Updated Documentation for Robust Estimation: Comprehensive documentation has been added for the
vcovandvcov_argsparameters in themodel_parameters.glmmTMBhelp file. This provides users with clear guidance on how to utilize the new robust variance-covariance options, including examples of supported types from external packages likesandwichandclubSandwich.
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Code Review
This pull request adds support for robust variance-covariance matrix estimation (e.g., vcovHC) for glmmTMB models. The changes correctly add vcov and vcov_args parameters to model_parameters.glmmTMB and standard_error.glmmTMB, and remove the previous restrictions. However, the newly introduced p_value.glmmTMB function has a critical issue where it's implemented to return standard errors instead of p-values, and it also has a bug that would cause a runtime error. I've provided a detailed comment with a corrected implementation for this function. The other changes, including documentation updates and dependency bumps, look good.
Fixes #1151