vcov_global_factor: Get the covariance estimates for the global factors

In GCCfactor: GCC Estimation of the Multilevel Factor Model

Get the covariance estimates for the global factors

Description

This function generates the covariance estimates for the global factors at time t.

Usage

vcov_global_factor(object, t)

Arguments

object	An S3 object of class 'multi_result' created by [multilevel()].
t	An integer specifying the time

Value

An r_{0} \times r_{0} covariance matrix.

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 <- vcov_global_factor(est_multi, t = est_multi$T / 2)

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