vcovDC | R Documentation |

High-level convenience wrapper for double-clustering robust
covariance matrix estimators *a la*
\insertCiteTHOM:11;textualplm and
\insertCiteCAME:GELB:MILL:11;textualplm for panel models.

vcovDC(x, ...) ## S3 method for class 'plm' vcovDC(x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"), ...)

`x` |
an object of class |

`...` |
further arguments |

`type` |
the weighting scheme used, one of |

`vcovDC`

is a function for estimating a robust covariance matrix of
parameters for a panel model with errors clustering along both dimensions.
The function is a convenience wrapper simply summing a group- and a
time-clustered covariance matrix and subtracting a diagonal one *a la*
White.

Weighting schemes specified by `type`

are analogous to those in
`sandwich::vcovHC()`

in package sandwich and are
justified theoretically (although in the context of the standard
linear model) by \insertCiteMACK:WHIT:85;textualplm and
\insertCiteCRIB:04;textualplm \insertCite@see @ZEIL:04plm.

The main use of `vcovDC`

(and the other variance-covariance estimators
provided in the package `vcovHC`

, `vcovBK`

, `vcovNW`

, `vcovSCC`

) is to pass
it to plm's own functions like `summary`

, `pwaldtest`

, and `phtest`

or
together with testing functions from the `lmtest`

and `car`

packages. All of
these typically allow passing the `vcov`

or `vcov.`

parameter either as a
matrix or as a function, e.g., for Waldâ€“type testing: argument `vcov.`

to
`coeftest()`

, argument `vcov`

to `waldtest()`

and other methods in the
lmtest package; and argument `vcov.`

to
`linearHypothesis()`

in the car package (see the
examples), see \insertCite@see also @ZEIL:04plm, 4.1-2, and examples below.

An object of class `"matrix"`

containing the estimate of
the covariance matrix of coefficients.

Giovanni Millo

CAME:GELB:MILL:11plm

\insertRefCRIB:04plm

\insertRefMACK:WHIT:85plm

\insertRefTHOM:11plm

\insertRefZEIL:04plm

`sandwich::vcovHC()`

from the sandwich
package for weighting schemes (`type`

argument).

data("Produc", package="plm") zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc, model="pooling") ## as function input to plm's summary method (with and without additional arguments): summary(zz, vcov = vcovDC) summary(zz, vcov = function(x) vcovDC(x, type="HC1", maxlag=4)) ## standard coefficient significance test library(lmtest) coeftest(zz) ## DC robust significance test, default coeftest(zz, vcov.=vcovDC) ## idem with parameters, pass vcov as a function argument coeftest(zz, vcov.=function(x) vcovDC(x, type="HC1", maxlag=4)) ## joint restriction test waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovDC) ## Not run: ## test of hyp.: 2*log(pc)=log(emp) library(car) linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovDC) ## End(Not run)

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