vcov.msel: Calculate Variance-Covariance Matrix for a msel Object.

In switchSelection: Endogenous Switching and Sample Selection Regression Models

Calculate Variance-Covariance Matrix for a msel Object.

Description

Return the variance-covariance matrix of the parameters of msel model.

Usage

## S3 method for class 'msel'
vcov(
  object,
  ...,
  type = object$cov_type,
  n_cores = object$other$n_cores,
  n_sim = object$other$n_sim,
  recalculate = FALSE,
  cluster = NULL
)

Arguments

object	an object of class msel.
...	further arguments (currently ignored).
type	character representing the type of the asymptotic covariance matrix estimator. It takes the same values as cov_type parameter of the msel function.
n_cores	positive integer representing the number of CPU cores used for parallel computing. If possible it is highly recommended to set it equal to the number of available physical cores especially when the system of ordered equations has 2 or 3 equations.
n_sim	integer representing the number of GHK draws when there are more than 3 ordered equations. Otherwise alternative (much more efficient) algorithms will be used to calculate multivariate normal probabilities.
recalculate	logical; if TRUE then covariance matrix will be recalculated even if 'type' is the same as 'cov_type' input argument of the model.
cluster	an object which takes the same values as the cluster argument of the msel function. The only exception is cluster = NULL which implies cluster = object$cluster.

Details

Argument type is closely related to the argument cov_type of msel function. See 'Details' and 'Usage' sections of msel for more information on cov_type argument.

The user may also estimate asymptotic covariance matrix of the parameters of several models. For more information, see paragraph 'Cross-model tests' in 'Details' section of test_msel.

Value

Returns numeric matrix which represents estimate of the asymptotic covariance matrix of model's parameters. If object is a list of models then rows and columns of this matrix will have names "mipj" indicating that corresponding element is associated with j-th parameter of the i-th model.

switchSelection documentation built on April 15, 2026, 5:06 p.m.