vcovHC.prais: Semirobust Covariance Matrix Estimators

In prais: Prais-Winsten Estimator for AR(1) Serial Correlation

Description

Semirobust covariance matrix estimators for models of class "prais".

Usage

## S3 method for class 'prais'
vcovHC(x, type = c("const", "HC1", "HC0"), ...)

Arguments

x	an object of class "prais", usually, the result of a call to prais_winsten.
type	a character string specifying the estimation type.
...	not used.

Details

vcovHC is a function for estimating a robust covariance matrix of parameters for the Prais-Winsten estimator. The weighting schemes specified by type are analogous to those in vcovHC in package sandwich with the caveat that only "const", "HC0" and "HC1" are available.

Value

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

See Also

vcovHC

prais documentation built on Nov. 1, 2021, 5:07 p.m.