boottest() throws error when lm, feols, felm drop coefficients due to multicollinearity

[s3alfisc]

When lm(), feols() or felm() drop variables due to multicollinearity, boottest() currently throws an error. This can be handled by dropping multicollinear variables in the pre-processing step via e.g. - this is how the sandwich package handles multicollinear covariates.

model_matrix2.lm <- function(object, collin.rm = TRUE, ...){
  
  if(inherits(object, "lm")){
    X <- model.matrix(object)
    if(collin.rm == TRUE){
      bn <- names(na.omit(coef(object)))
      X[,colnames(X) %in% bn]
    }
  }
  
  X
  
}

[s3alfisc]

close with ace208e