add inheritance of ssc and vcov in vcov(), fixes #356

NEWS.md

@@ -11,6 +11,8 @@
 
 - new method `df.residual.fixest`. Thanks to @rferrali, #455
 
+- now the `vcov` method inherits the small sample correction and type of VCOV used in the original estimation. Thanks to @mgoplerud, #356 
+
 ## Bugs
 
 - fix bug when the covariance matrix was *very* ill-defined. Thanks to Gianluca Russo.

R/VCOV.R

@@ -268,7 +268,9 @@ vcov.fixest = function(object, vcov = NULL, se = NULL, cluster, ssc = NULL, attr
     }
     return(vcov)
   }
-
+
+  # we inherit the vcov/ssc from the summary
+  assign_flags(object$summary_flags, vcov = vcov, ssc = ssc)
 
   # Default behavior vcov:
   suffix = ""

tests/fixest_tests.R

@@ -918,14 +918,14 @@ test(v1, v1c)
 
 # Only ssc change
 v2 = summary(est, ssc = ssc())$cov.scaled
-v2b = vcov(est, cluster = ~clu, ssc = ssc())
+v2b = vcov(est, ssc = ssc())
 
 test(v2, v2b)
 test(max(abs(v1 - v2)) == 0, FALSE)
 
-# SE change only
+# vcov change only
 v3 = summary(est, se = "hetero")$cov.scaled
-v3b = vcov(est, se = "hetero", ssc = ssc(adj = FALSE))
+v3b = vcov(est, se = "hetero")
 
 test(v3, v3b)
 test(max(abs(v1 - v3)) == 0, FALSE)