vcov.slm: Calculate Variance-Covariance Matrix for a Fitted Model...

In slm: Stationary Linear Models

Description

Returns the variance-covariance matrix of the (non-normalized) least squares estimators for an object of class slm.

Usage

## S3 method for class 'slm'
vcov(object, ...)

Arguments

object	a fitted model object of class slm.
...	additional arguments for method functions.

Value

The variance-covariance matrix of the (non-normalized) least squares estimators for an object of class slm.

See Also

The generic function vcov.

The function cov_matrix_estimator.

Examples

 n = 500
 eps = generative_process(n,"AR1",c(0.7))
 X = as.matrix(generative_model(n,"mod2"))
 Y = 3 + 2*X[,2] + eps
 reg = slm(Y ~ X, method_cov_st = "fitAR", model_selec = -1)
 vcov(reg)

slm documentation built on Aug. 31, 2020, 5:11 p.m.