vcovHC.gpls: Heteroskedasticity-Consistent Covariance Matrix Estimation

In abnormally-distributed/cvreg: Cross Validation and Robust Estimation Utilities

Description

Heteroskedasticity-Consistent Covariance Matrix Estimation

Usage

## S3 method for class 'gpls'
vcovHC(
  x,
  type = c("HC4m", "const", "HC", "HC0", "HC1", "HC2", "HC3", "HC4", "HC5"),
  omega = NULL,
  sandwich = TRUE,
  ...
)

Arguments

x	a fitted model object.
type	a character string specifying the estimation type. For details see below.
omega	a vector or a function depending on the arguments residuals (the working residuals of the model), diaghat (the diagonal of the corresponding hat matrix) and df (the residual degrees of freedom). For details see below.
sandwich	logical. Should the sandwich estimator be computed? If set to FALSE only the meat matrix is returned.
...	arguments passed to sandwich (in vcovHC) and estfun (in meatHC), respectively.

Value

A matrix containing the covariance matrix estimate.

abnormally-distributed/cvreg documentation built on May 3, 2020, 3:45 p.m.