fixest: Incorrect standard errors and error

Fixes #1039

DESCRIPTION

@@ -1,7 +1,7 @@
 Type: Package
 Package: parameters
 Title: Processing of Model Parameters
-Version: 0.23.0.6
+Version: 0.23.0.7
 Authors@R:
     c(person(given = "Daniel",
              family = "Lüdecke",
@@ -113,6 +113,7 @@ Suggests:
     coxme,
     cplm,
     dbscan,
+    did,
     distributional,
     domir (>= 0.2.0),
     drc,

NEWS.md

@@ -10,6 +10,9 @@
 * Fixed bug when extracting 'pretty labels' for model parameters, which could
   fail when predictors were character vectors.
 
+* Fixed bug with inaccurate standard errors for models from package *fixest*
+  that used the `sunab()` function in the formula.
+
 # parameters 0.23.0
 
 ## Breaking Changes

R/methods_fixest.R

@@ -73,8 +73,14 @@ standard_error.fixest <- function(model, vcov = NULL, vcov_args = NULL, ...) {
   params <- insight::get_parameters(model)
 
   if (is.null(vcov)) {
-    stats <- summary(model)
-    SE <- as.vector(stats$se)
+    # most reliable is from "coeftable" element
+    stats <- model$coeftable
+    SE <- .safe(as.vector(stats[, "Std. Error"]))
+    # if this fails extract from summary
+    if (is.null(SE)) {
+      stats <- summary(model)
+      SE <- as.vector(stats$se)
+    }
   } else {
     # we don't want to wrap this in a tryCatch because the `fixest` error is
     # informative when `vcov` is wrong.

tests/testthat/test-model_parameters.fixest.R

@@ -115,3 +115,20 @@ test_that("robust standard errors", {
   expect_error(parameters(mod, vcov = "hetero"), NA)
   expect_error(parameters(mod, vcov = "iid"), NA)
 })
+
+
+test_that("standard errors, Sun and Abraham", {
+  data(mpdta, package = "did")
+  m <- fixest::feols(
+    lemp ~ sunab(first.treat, year, ref.p = -1:-4, att = TRUE) | countyreal + year,
+    data = mpdta,
+    cluster = ~countyreal
+  )
+  out <- model_parameters(m)
+  expect_equal(out$SE, m$coeftable[, "Std. Error"], tolerance = 1e-4, ignore_attr = TRUE)
+
+  data(base_stagg, package = "fixest")
+  m <- fixest::feols(y ~ x1 + sunab(year_treated, year) | id + year, base_stagg)
+  out <- model_parameters(m)
+  expect_equal(out$SE, m$coeftable[, "Std. Error"], tolerance = 1e-4, ignore_attr = TRUE)
+})