vcovPC: Extract Panel-Corrected Variance Covariance Matrix

In pcse: Panel-Corrected Standard Error Estimation in R

Description

The package pcse contains a function to estimate panel-corrected standard errors. Data may contain balanced or unbalanced panels. This function extracts the resulting variance covariance matrix.

Usage

vcovPC(x, ...)

## Default S3 method:
vcovPC(x, groupN, groupT, pairwise=FALSE, ...)

Arguments

x	A lm object containing the initial run of OLS.
groupN	A vector containing the cross-sectional group identifier for each observation.
groupT	A vector containing the time identifier for each observation.
pairwise	An optional logical flag indicating whether the X's used to estimate the "middle" matrix should be chosen in a pairwise fashion or casewise fashion. If pairwise, the correlation between observations $i$ and $j$ is based on the time periods common to $i$ and $j$. If casewise, the correlation between observations i and j is based on the largest rectangular subset of the data, i.e., $T_i$ = $T_j$ = $T^*$ for all $i$ and $j$ if casewise is selected.
...	Further arguments passed to methods.

Author(s)

Delia Bailey <[e-mail]> and Jonathan N. Katz <[e-mail]> Maintainer: Delia Bailey <[e-mail]>

References

Bailey, Delia and Jonathan N. Katz. (2011) Implementing Panel-Corrected Standard Errors in R: The pcse Package. Journal of Statistical Software, Code Snippets 42(1):1–11. http://www.jstatsoft.org/v42/c01/

Examples

## see demo file.

Example output

pcse documentation built on May 2, 2019, 9:16 a.m.