vcovPC: Extract Panel-Corrected Variance Covariance Matrix

Description Usage Arguments Author(s) References Examples

View source: R/vcovPC.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

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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 <delia.bailey@gmail.com> and Jonathan N. Katz <jkatz@caltech.edu> Maintainer: Delia Bailey <delia.bailey@gmail.com>

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

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## see demo file.

pcse documentation built on May 19, 2017, 8:26 p.m.

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