vcov.felm: Covariance matrix for LMs

In capybara: Fast and Memory Efficient Fitting of Linear Models with High-Dimensional Fixed Effects

Covariance matrix for LMs

Description

Covariance matrix for the estimator of the structural parameters from objects returned by felm. The covariance is computed during model fitting - either the inverse Hessian (default) or the sandwich estimator if cluster variables are specified in the formula.

Usage

## S3 method for class 'felm'
vcov(object, ...)

Arguments

object	an object of class "felm".
...	additional arguments (currently ignored).

Value

A named matrix of covariance estimates.

References

Cameron, C., J. Gelbach, and D. Miller (2011). "Robust Inference With Multiway Clustering". Journal of Business & Economic Statistics 29(2).

See Also

felm

Examples

# Model with clustering - returns sandwich covariance
ross2004_s1 <- ross2004[ross2004$year == 1994, ]
ross2004_s1 <- ross2004_s1[ross2004_s1$ltrade >
  quantile(ross2004_s1$ltrade, 0.75), ]

ross2004_s2 <- ross2004[ross2004$year == 1999, ]
ross2004_s2 <- ross2004_s2[ross2004_s2$ltrade >
  quantile(ross2004_s2$ltrade, 0.75), ]

ross2004_subset <- rbind(ross2004_s1, ross2004_s2)

fit <- felm(ltrade ~ ldist | ctry1 | year, ross2004_subset)

vcov(fit)

capybara documentation built on June 15, 2026, 9:10 a.m.