vcovNW: Newey and West (1987) Robust Covariance Matrix Estimator In plm: Linear Models for Panel Data

Description

Nonparametric robust covariance matrix estimators a la Newey and West for panel models with serial correlation.

Usage

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19``` ```vcovNW(x, ...) ## S3 method for class 'plm' vcovNW( x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"), maxlag = NULL, wj = function(j, maxlag) 1 - j/(maxlag + 1), ... ) ## S3 method for class 'pcce' vcovNW( x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"), maxlag = NULL, wj = function(j, maxlag) 1 - j/(maxlag + 1), ... ) ```

Arguments

 `x` an object of class `"plm"` or `"pcce"` `...` further arguments `type` the weighting scheme used, one of `"HC0"`, `"sss"`, `"HC1"`, `"HC2"`, `"HC3"`, `"HC4"`, see Details, `maxlag` either `NULL` or a positive integer specifying the maximum lag order before truncation `wj` weighting function to be applied to lagged terms,

Details

`vcovNW` is a function for estimating a robust covariance matrix of parameters for a panel model according to the \insertCiteNEWE:WEST:87;textualplm method. The function works as a restriction of the \insertCiteDRIS:KRAA:98;textualplm covariance (see `vcovSCC()`) to no cross–sectional correlation.

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 `vcovNW` is to be an argument to other functions, e.g., for Wald–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). Notice that the `vcov` and `vcov.` arguments allow to supply a function (which is the safest) or a matrix \insertCite@see @ZEIL:04, 4.1-2 and examples belowplm.

Value

An object of class `"matrix"` containing the estimate of the covariance matrix of coefficients.

Giovanni Millo

References

\insertRef

CRIB:04plm

\insertRef

DRIS:KRAA:98plm

\insertRef

MACK:WHIT:85plm

\insertRef

NEWE:WEST:87plm

\insertRef

ZEIL:04plm

`sandwich::vcovHC()` from the sandwich package for weighting schemes (`type` argument).
 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17``` ```library(lmtest) data("Produc", package="plm") zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc, model="pooling") ## standard coefficient significance test coeftest(zz) ## NW robust significance test, default coeftest(zz, vcov.=vcovNW) ## idem with parameters, pass vcov as a function argument coeftest(zz, vcov.=function(x) vcovNW(x, type="HC1", maxlag=4)) ## joint restriction test waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovNW) ## Not run: ## test of hyp.: 2*log(pc)=log(emp) library(car) linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovNW) ## End(Not run) ```