vcov.npsf: 'vcov' method for class 'npsf'

Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/vcov.npsf.R

Description

Extracts the variance-covariance matrix of the ML parameters of a stochastic frontier model estimated by sf.

Usage

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

Arguments

object

an object of class npsf returned by the function sf.

...

currently unused.

Details

The estimated variance-covariance matrix of the ML parameters is the inverse of the negative Hessian evaluated at the MLE.

Value

vcov.npsf returns the estimated variance-covariance matrix of the ML parameters.

Author(s)

Oleg Badunenko <oleg.badunenko@brunel.ac.uk>

See Also

coef.npsf, nobs.npsf, summary.npsf, and sf.

Examples

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require( npsf )
 
# Load Penn World Tables 5.6 dataset
 
data( pwt56 )
head( pwt56 )
 
# Create some missing values
 
pwt56 [4, "K"] <- NA 
 
# Stochastic production frontier model with 
# homoskedastic error components (half-normal)
 
# Use subset of observations - for year 1965
 
m1 <- sf(log(Y) ~ log(L) + log(K), data = pwt56, 
 subset = year == 1965, distribution = "h")
vcov( m1 )

npsf documentation built on Nov. 23, 2020, 1:07 a.m.