vcov.ivmodel: Calculate Variance-Covariance Matrix (i.e. Standard Error)...

Description Usage Arguments Value Author(s) See Also Examples

View source: R/vcov.ivmodel.r

Description

This vcov method returns the variance-covariance matrix for all specified k-Class estimation from an ivmodel object.

Usage

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

Arguments

object

ivmodel object.

...

Additional arguments to vcov.

Value

A matrix of standard error estimates for each k-Class estimator.

Author(s)

Yang Jiang, Hyunseung Kang, and Dylan Small

See Also

See also ivmodel for details on the instrumental variables model.

Examples

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data(card.data)
Y=card.data[,"lwage"]
D=card.data[,"educ"]
Z=card.data[,"nearc4"]
Xname=c("exper", "expersq", "black", "south", "smsa", "reg661", 
        "reg662", "reg663", "reg664", "reg665", "reg666", "reg667", 
		"reg668", "smsa66")
X=card.data[,Xname]
foo = ivmodel(Y=Y,D=D,Z=Z,X=X)
vcov(foo)

Example output

              k Endogenous variable
OLS    0.000000         0.003498346
Fuller 0.999666         0.052708406
LIML   1.000000         0.054963673
TSLS   1.000000         0.054963673

ivmodel documentation built on Jan. 16, 2021, 5:28 p.m.