delta_method: Delta method

In Natsiopoulos/ARDL: ARDL, ECM and Bounds-Test for Cointegration

Delta method

Description

An internal generic function, customized for approximating the standard errors of the estimated multipliers.

Usage

delta_method(object, vcov_matrix = NULL)

## S3 method for class 'ardl'
delta_method(object, vcov_matrix = NULL)

## S3 method for class 'uecm'
delta_method(object, vcov_matrix = NULL)

Arguments

object	An object of class 'ardl' or 'uecm'.
vcov_matrix	The estimated covariance matrix of the random variable that the transformation function uses to estimate the standard errors (and so the t-statistics and p-values) of the multipliers. The default is vcov(object) (when vcov_matrix = NULL), but other estimations of the covariance matrix of the regression's estimated coefficients can also be used (e.g., using vcovHC or vcovHAC).

Details

The function invokes two different methods, one for objects of class 'ardl' and one for objects of class 'uecm'. This is because of the different (but equivalent) transformation functions that are used for each class/model ('ardl' and 'uecm') to estimate the multipliers.

Value

delta_method returns a numeric vector of the same length as the number of the independent variables (excluding the fixed ones) in the model.

Author(s)

Kleanthis Natsiopoulos, [e-mail]

See Also

multipliers, ardl, uecm

Natsiopoulos/ARDL documentation built on Sept. 2, 2023, 2:33 a.m.