vcov: Variance-covariance matrix of GMM or GEL

In gmm: Generalized Method of Moments and Generalized Empirical Likelihood

Variance-covariance matrix of GMM or GEL

Description

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

Usage

## 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(), ...)
## S3 method for class 'ategel'
vcov(object, lambda = FALSE, robToMiss = TRUE, ...)

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
robToMiss	If TRUE, it computes the robust to misspecification covariance matrix
...	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

# 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)

gmm documentation built on June 7, 2023, 6:05 p.m.