Update benchmarks.jl

benchmark/benchmarks.jl

@@ -6,17 +6,37 @@ using BenchmarkTools
 
 Random.seed!(1)
 
-df = DataFrame(y = randn(1000))
+df = DataFrame(y = randn(300*50))
 for j in Symbol.("x".*string.(collect(1:5)))
-    df[j] = randn(1000)
+    df[j] = randn(300*50)
 end
+df[:cluster] = repeat(1:50, inner = [300])
+
 
 frm = @formula(y ~ x1 + x2 + x3 + x4 + x5)
 lm1 = glm(frm, df, Normal(), IdentityLink())
 k_fix = TruncatedKernel(2)
-k_opt = TruncatedKernel()
+k_opt_andrews = TruncatedKernel()
+k_opt_newey = TruncatedKernel(NeweyWest)
 
 suite = BenchmarkGroup()
 suite["HAC"] = BenchmarkGroup(["Optimal Uncached", "Fixed Uncached"])
-suite["HAC"]["Optimal Uncached"] = @benchmarkable vcov(lm1, $k_opt)
-suite["HAC"]["Fixed Uncached"] = @benchmarkable vcov(lm1, $k_fix)
+suite["HAC"]["Truncated Optimal Andrews"] = @benchmarkable vcov(lm1, $k_opt_andrews)
+suite["HAC"]["Truncated Optimal Andrews"] = @benchmarkable vcov(lm1, $k_opt_newey)
+suite["HAC"]["Truncated Fixed "] = @benchmarkable vcov(lm1, $k_fix)
+
+k_fix = ParzenKernel(2)
+k_opt_andrews = ParzenKernel()
+k_opt_newey = ParzenKernel(NeweyWest)
+
+suite["HAC"]["Parzen Optimal Andrews"] = @benchmarkable vcov(lm1, $k_opt_andrews)
+suite["HAC"]["Parzen Optimal Newey"] = @benchmarkable vcov(lm1, $k_opt_newey)
+suite["HAC"]["Parzen Fixed "] = @benchmarkable vcov(lm1, $k_fix)
+
+k = CRHC0(df[!,:cluster])
+suite["HAC"]["Cluster HC0"] = @benchmarkable vcov(lm1, $k)
+k = CRHC2(df[!,:cluster])
+suite["HAC"]["Cluster HC2"] = @benchmarkable vcov(lm1, $k)
+k = CRHC3(df[!,:cluster])
+suite["HAC"]["Cluster HC2"] = @benchmarkable vcov(lm1, $k)
+