vcov_global_comp: Get the variance estimates of the global component

In GCCfactor: GCC Estimation of the Multilevel Factor Model

Get the variance estimates of the global component

Description

This function generates the variance estimates of the global component for the j-th individual in block i at time t.

Usage

vcov_global_comp(object, i, j, t)

Arguments

object	An S3 object of class 'multi_result' created by multilevel().
i	An integer indicating the i-th block.
j	An integer indicating the j-th individual in the i-th block.
t	An integer indicating the time.

Value

The variance of the global component.

Examples

panel <- UKhouse # load the data
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                           depvar_header = "dlPrice", i_header = "Region",
                           j_header = "LPA_Type", t_header = "Date")
vcov_global_comp_ijt <- vcov_global_comp(est_multi, i = 1, j = 1, t = 1)

GCCfactor documentation built on Nov. 28, 2025, 5:06 p.m.