WRE jk bug fixes

Project.toml

@@ -1,7 +1,7 @@
 name = "WildBootTests"
 uuid = "65c2e505-86ba-4c19-93f1-95506c1443d5"
 authors = ["droodman <[email protected]>"]
-version = "0.9.0"
+version = "0.9.1"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

src/WRE.jl

@@ -16,8 +16,6 @@ function InitWRE!(o::StrBootTest{T}) where T
 
 	o.Repl.kZ>1 && (o.numer_b = Vector{T}(undef,nrows(o.Repl.RRpar)))
 
-	o.not2SLS = o.liml || !o.robust || !isone(o.κ)  # sometimes κ ≠ 1?
-
 	if o.willfill
 		o.J⋂s = Array{T,3}(undef, o.N⋂, o.ncolsv, o.Repl.kZ)
 		o.ARpars = Array{T,3}(undef, o.Repl.kZ, o.ncolsv, o.q)
@@ -134,8 +132,6 @@ function InitWRE!(o::StrBootTest{T}) where T
 			end
 		end
 	else
-		o.Repl.Zperp = o.DGP.Zperp = Matrix{T}(undef,0,0)  # drop this potentially large array
-
 		o.Π̈Rpar = Matrix{T}(undef, o.DGP.kX, o.Repl.kZ)
 
 		o.invXXS✻XU₂ = Array{T,3}(undef, o.DGP.kX, o.N✻, o.kY₂)
@@ -187,7 +183,7 @@ function InitWRE!(o::StrBootTest{T}) where T
 			o.CT✻FEZ   = crosstabFE(o, o.DGP.Z, o.info✻)
 			o.CT✻FEy₁  = crosstabFE(o, o.DGP.y₁, o.info✻)
 			o.DGP.restricted &&
-				(o.CT✻FEZR₁ = crosstabFE(o, o.DGP.ZR₁, o.info✻))
+				(o.CT✻FEZR₁ = crosstabFE(o, o.DGP.ZR₁, o.info✻))  #  XXX just do o.CT✻FEZ * R₁ ?
 		end
 
 		((o.willfill) || o.not2SLS) &&
@@ -331,8 +327,11 @@ function PrepWRE!(o::StrBootTest{T}) where T
 	end
 
 	if !o.granular
+		if o.willfill || o.not2SLS
+			mul!(o.Π̈Rpar, o.DGP.Π̈  , o.Repl.RparY); o.Π̈Rpar[1:o.DGP.kX₁,:] += o.DGP.RperpXperp'o.DGP.RperpXperp \ o.DGP.RperpXperp'o.Repl.RparX 
+		end
+
 		if !o.jk  # in coarse case, if not jackknifing, construct things while avoiding O(N) operations
-		 	mul!(o.Π̈Rpar, o.DGP.Π̈  , o.Repl.RparY); o.Π̈Rpar[1:o.DGP.kX₁,:] += o.DGP.RperpXperp'o.DGP.RperpXperp \ o.DGP.RperpXperp'o.Repl.RparX 
 			Π⃛y = [o.DGP.RperpXperp'o.DGP.γ̈X ; zeros(T, o.kX₂, 1)] + o.DGP.Π̈ * o.DGP.γ̈Y
 
 			t✻!(o.S✻XU₂, o.S✻XX, o.DGP.Π̈); o.S✻XU₂ .= o.S✻XY₂ .- o.S✻XU₂
@@ -422,7 +421,6 @@ function PrepWRE!(o::StrBootTest{T}) where T
 		end
 	end
 
-
 	if o.not2SLS
 		@inbounds for i ∈ 0:o.Repl.kZ, j ∈ 0:i
 			o.S✻ȲUfold[i+1,:,j+1] .= o.S✻ȲU[i+1,j+1] .+ o.S✻ȲU[j+1,i+1]
@@ -586,6 +584,7 @@ function FillingLoop2!(o::StrBootTest{T}, dest::Matrix{T}, i::Integer, j::Intege
 	nothing
 end
 
+
 # Workhorse for WRE CRVE sandwich filling
 # Given a zero-based column index, i>0, and a matrix β̈s of all the bootstrap estimates, 
 # return all bootstrap realizations of P_X * Z̄[:,i]_g ' û₁g^*b

src/estimators.jl

@@ -376,11 +376,11 @@ function InitVarsIV!(o::StrEstimator{T}, parent::StrBootTest{T}, Rperp::Abstract
 
 			o.Xpar₁ = parent.X₁ * o.RperpXperp  # X∥ := [Xpar₁ X₂]
 			S✻⋂X₁Zperp = panelcross(o.Xpar₁, o.Zperp, parent.info✻⋂)
-			ZperpX₁ = sumpanelcross(S✻⋂X₁Zperp)'
+			!(parent.jk && parent.WREnonARubin) && (ZperpX₁ = sumpanelcross(S✻⋂X₁Zperp)')
 			o.invZperpZperpZperpX₁ = o.invZperpZperp * ZperpX₁
 
 			S✻⋂X₂Zperp = panelcross(parent.X₂, o.Zperp, parent.info✻⋂)
-			ZperpX₂ = sumpanelcross(S✻⋂X₂Zperp)'
+			!(parent.jk && parent.WREnonARubin) && (ZperpX₂ = sumpanelcross(S✻⋂X₂Zperp)')
 			o.ZperpX = [ZperpX₁ ZperpX₂]
 			o.S✻⋂XZperp = [S✻⋂X₁Zperp; S✻⋂X₂Zperp]
 
@@ -409,12 +409,12 @@ function InitVarsIV!(o::StrEstimator{T}, parent::StrBootTest{T}, Rperp::Abstract
 			o.kX₁ = ncols(X₂X₁)
 
 			o.S✻⋂ZperpY₂ = panelcross(o.Zperp, parent.Y₂, parent.info✻⋂)
-			ZperpY₂ = sumpanelcross(o.S✻⋂ZperpY₂)
+			!(parent.jk && parent.WREnonARubin) && (ZperpY₂ = sumpanelcross(o.S✻⋂ZperpY₂))
 			o.invZperpZperpZperpY₂ = o.invZperpZperp * ZperpY₂
 			(parent.NFE>0 && (parent.liml || !isone(parent.κ) || parent.bootstrapt)) &&
 				(o.Y₂ = parent.Y₂ - o.Zperp * o.invZperpZperpZperpY₂)
 			o.S✻⋂Zperpy₁ = panelcross(o.Zperp, parent.y₁, parent.info✻⋂)
-			Zperpy₁ = vec(sumpanelcross(o.S✻⋂Zperpy₁))
+			!(parent.jk && parent.WREnonARubin) && (Zperpy₁ = vec(sumpanelcross(o.S✻⋂Zperpy₁)))
 			o.invZperpZperpZperpy₁ = o.invZperpZperp * Zperpy₁
 			((parent.NFE>0 && (parent.liml || !isone(parent.κ) || parent.bootstrapt)) || parent.scorebs) &&
 				(o.y₁ = parent.y₁ - o.Zperp * o.invZperpZperpZperpy₁)
@@ -482,7 +482,8 @@ function InitVarsIV!(o::StrEstimator{T}, parent::StrBootTest{T}, Rperp::Abstract
 		  o.twoZR₁y₁ = 2 * vec(sumpanelcross(o.S✻ZR₁y₁))
 			o.S✻ZR₁ZR₁ = panelcross(o.ZR₁, o.ZR₁, parent.info✻)
 		  o.ZR₁ZR₁   = #=Symmetric=#(sumpanelcross(o.S✻ZR₁ZR₁))
-			o.ZR₁ .-= o.Zperp * o.invZperpZperpZperpZR₁
+			(parent.scorebs || (parent.NFE>0 && !parent.FEboot && o.isDGP && o.restricted && (parent.willfill || parent.not2SLS))) &&
+				(o.ZR₁ .-= o.Zperp * o.invZperpZperpZperpZR₁)
 		  t✻minus!(o.X₁ZR₁, o.invZperpZperpZperpX₁', o.ZperpZR₁)
 		  t✻minus!(o.X₂ZR₁, o.invZperpZperpZperpX₂', o.ZperpZR₁)
 		  o.ZR₁Z    -= o.ZperpZR₁'o.invZperpZperp * ZperpZpar
@@ -504,7 +505,6 @@ function InitVarsIV!(o::StrEstimator{T}, parent::StrBootTest{T}, Rperp::Abstract
 			(o.ZY₂ = sumpanelcross(o.S✻ZparY₂) - ZperpZpar'o.invZperpZperpZperpY₂)
 
 		t✻minus!(o.Z, o.Zperp, o.invZperpZperpZperpZpar)
-
 	end  # end coarse
 
 	o.V =  o.invXX * o.XZ  # in 2SLS case, estimator is (V' XZ)^-1 * (V'Xy₁). Also used in k-class and liml robust VCV by Stata convention

src/init.jl

@@ -62,6 +62,7 @@ function Init!(o::StrBootTest{T}) where T  # for efficiency when varying r repea
 	    o.info✻, o.ID✻ = panelsetupID(o.ID, 1:o.NBootClustVar)
   	end
 		o.willfill = o.robust && o.bootstrapt  # will compute sandwich filling for robust denominator?
+		o.not2SLS = o.liml || !o.robust || !isone(o.κ)  # sometimes κ ≠ 1?
   elseif iszero(o.NClustVar)
 	  o.info✻ = [i:i for i in 1:o.Nobs]  # causes no collapsing of data in panelsum() calls
   else