vcov_local_factor: Get the covariance estimates for the local factors

In GCCfactor: GCC Estimation of the Multilevel Factor Model

Get the covariance estimates for the local factors

Description

This function generates the covariance estimates for the local factors in block i at time t.

Usage

vcov_local_factor(object, i, t)

Arguments

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

Value

An r_{i} \times r_{i} 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_local_factor_11 <- vcov_local_factor(est_multi, i = 1, t = 1)

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