---
title: "Comparing HC Estimators"
output: rmarkdown::html_vignette
vignette: >
  %\VignetteIndexEntry{Comparing HC Estimators}
  %\VignetteEngine{knitr::rmarkdown}
  %\VignetteEncoding{UTF-8}
---

```{r, include = FALSE}
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  fig.width = 7,
  fig.height = 4.5
)
options(hcinfer.use_emoji = FALSE)
```

This vignette assumes the introduction (`vignette("introduction", package = "hcinfer")`) and
compares several HC estimators on a single fitted model, using coefficient
tables, confidence intervals, covariance matrices, robust weights, and leverage
diagnostics.

## Fit one model

Comparisons should start from one fitted model. Here we use the Boston
house-price model from the HCbeta paper (price regressed on lot size, number of
bedrooms, and a bedrooms-by-size interaction) and focus on the lot-size
coefficient.

```{r}
library(hcinfer)

fit <- lm(price ~ lotsize + bdrms + bdrms:sqrft, data = Hprice)
```

## Run several methods

The `type` argument selects the HC estimator. Store each result in a named list
so that later extraction is straightforward.

```{r}
methods <- c("hc0", "hc3", "hc4", "hc4m", "hcbeta")

results <- purrr::map(methods, \(method) {
  hcinfer(fit, type = method)
})
names(results) <- methods
```

## Compare one coefficient

Most applied comparisons focus on one or a few coefficients. The helper below
uses `tests()` and `confint()` to extract one coefficient and adds the method
name.

```{r}
extract_term <- function(result, method, term = "lotsize") {
  row <- tests(result, parm = term)
  ci <- confint(result, parm = term)

  tibble::tibble(
    method = method,
    estimate = row$estimate,
    std_error = row$std_error,
    p_value = row$p_value,
    conf_low = ci$conf_low,
    conf_high = ci$conf_high,
    reject = row$reject
  )
}

comparison <- purrr::imap(results, extract_term)
comparison <- dplyr::bind_rows(comparison)
comparison
```

Add interval widths when the goal is to compare how conservative the estimators
are for this coefficient.

```{r}
comparison <- comparison |>
  dplyr::mutate(interval_width = conf_high - conf_low)

comparison
```

## Plot the robust standard errors

A simple plot can help show how the estimators differ for the selected
coefficient.

```{r comparison-se-plot, fig.alt = "Bar chart comparing robust standard errors for the lot-size coefficient across HC estimators."}
ggplot2::ggplot(comparison, ggplot2::aes(x = method, y = std_error)) +
  ggplot2::geom_col(fill = "#305c8a") +
  ggplot2::labs(
    x = "Estimator",
    y = "Robust standard error for the lot-size coefficient"
  ) +
  ggplot2::theme_minimal(base_size = 12)
```

## Compare confidence intervals directly

`confint()` returns a tibble for one result. Use the stored comparison table
when you want intervals from several methods side by side.

```{r}
comparison |>
  dplyr::select(method, conf_low, conf_high, interval_width)
```

## Compare covariance objects

Use `vcov_hc()` when you only need the covariance matrix and diagnostics, not
coefficient tests.

```{r}
cov_hc3 <- vcov_hc(fit, type = "hc3")
cov_hc3
vcov(cov_hc3)
```

Plot the adjustment factors against leverage values for a covariance object.

```{r comparison-hc3-plot, fig.alt = "Scatterplot of HC3 adjustment factors against leverage values for the Hprice model."}
plot(cov_hc3)
```

The covariance object also has a summary method.

```{r}
summary(cov_hc3)
```

## Compare diagnostics across methods

All covariance and inference objects store robust weights and leverage values.
The leverage values depend only on the fitted model, while the weights depend on
the HC estimator.

```{r}
covariances <- purrr::map(methods, \(method) {
  vcov_hc(fit, type = method)
})
names(covariances) <- methods

diagnostic_comparison <- purrr::imap(covariances, \(cov, method) {
  tibble::tibble(
    method = method,
    max_leverage = max(cov$leverage),
    max_weight = max(cov$weights),
    median_weight = stats::median(cov$weights)
  )
})
diagnostic_comparison <- dplyr::bind_rows(diagnostic_comparison)
diagnostic_comparison
```

The next figure mirrors the empirical display in the HCbeta paper: adjustment
factors are plotted against leverages for HC3, HC4, HC4m, and HCbeta.

```{r comparison-weight-facets, fig.width = 8, fig.height = 6, fig.alt = "Faceted scatterplot of HC adjustment factors against leverage values for HC3, HC4, HC4m, and HCbeta in the Hprice model."}
figure_methods <- c("hc3", "hc4", "hc4m", "hcbeta")
figure_covariances <- purrr::map(figure_methods, \(method) {
  vcov_hc(fit, type = method)
})
names(figure_covariances) <- figure_methods

weight_comparison <- purrr::imap(figure_covariances, \(cov, method) {
  tibble::tibble(
    method = cov$label,
    leverage = cov$leverage,
    weight = cov$weights,
    high_leverage = cov$leverage > 3 * cov$p / cov$n
  )
}) |>
  dplyr::bind_rows() |>
  dplyr::mutate(
    method = factor(method, levels = c("HC3", "HC4", "HC4m", "HCbeta"))
  )

ggplot2::ggplot(weight_comparison, ggplot2::aes(x = leverage, y = weight)) +
  ggplot2::geom_point(
    ggplot2::aes(color = high_leverage),
    size = 1.8,
    alpha = 0.85
  ) +
  ggplot2::facet_wrap(~method, scales = "free_y", ncol = 2) +
  ggplot2::scale_color_manual(
    values = c(`FALSE` = "#2c5f8a", `TRUE` = "#c0392b"),
    guide = "none"
  ) +
  ggplot2::labs(
    x = expression(h[t]),
    y = expression(g[t])
  ) +
  ggplot2::theme_minimal(base_size = 12) +
  ggplot2::theme(
    strip.text = ggplot2::element_text(face = "bold"),
    panel.grid.minor = ggplot2::element_blank()
  )
```

## What to report

A compact reporting table usually needs the estimator, estimate, robust standard
error, p-value, and interval endpoints.

```{r}
comparison |>
  dplyr::select(method, estimate, std_error, p_value, conf_low, conf_high)
```

Use this comparison to document how sensitive your conclusion is to the choice
of HC estimator. Use `vignette("hcinfer-hcbeta")` for a closer look at the
default HCbeta estimator.
