Variance-covariance matrix of GMM or GEL

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Description

It extracts the matrix of variances and covariances from gmm or gel objects.

Usage

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## S3 method for class 'gmm'
vcov(object, ...)
## S3 method for class 'gel'
vcov(object, lambda = FALSE, ...)
## S3 method for class 'tsls'
vcov(object, type=c("Classical","HC0","HC1","HAC"), hacProp = list(), ...)

Arguments

object

An object of class gmm or gmm returned by the function gmm or gel

lambda

If set to TRUE, the covariance matrix of the Lagrange multipliers is produced.

type

Type of covariance matrix for the meat

hacProp

A list of arguments to pass to kernHAC

...

Other arguments when vcov is applied to another class object

Details

For tsls(), if vcov is set to a different value thand "Classical", a sandwich covariance matrix is computed.

Value

A matrix of variances and covariances

Examples

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# GMM #
n = 500
phi<-c(.2,.7)
thet <- 0
sd <- .2
x <- matrix(arima.sim(n = n,list(order = c(2,0,1), ar = phi, ma = thet, sd = sd)), ncol = 1)
y <- x[7:n]
ym1 <- x[6:(n-1)]
ym2 <- x[5:(n-2)]

H <- cbind(x[4:(n-3)], x[3:(n-4)], x[2:(n-5)], x[1:(n-6)])
g <- y ~ ym1 + ym2
x <- H

res <- gmm(g, x)
vcov(res)

## GEL ##

t0 <- c(0,.5,.5)
res <- gel(g, x, t0)
vcov(res)
vcov(res, lambda = TRUE)