se: Standard errors of coefficient estimates

In jcpernias/ec1027: Data and Functions for the course EC1027 - Econometrics I

Description

Get the standard error of the estimates of the model parameters.

Usage

se(model, vce = NULL)

Arguments

model	an estimated model returned by lm or similar functions.
vce	an object indicating how to obtain the covariance matrix.

Details

The parameter vce controls how the covariance matrix of estimates is computed:

• If vce is NULL (the default), the covariance matrix is computed using vcov: vcov(model).

• vce can be a string that indicates which type of covariance matrix is used. Covariance matrices robust to heteroskedasticity are computed with vce = "HC". Other variants valid under heteroskedasticity are "HC0", "HC1", "HC2" and "HC3" (which is equivalent to "HC"). Newey and West proposed a covariance matrix estimator valid under autocorrelation and heteroskedasticity. This estimator is computed by setting vceequal to "NW" or "HAC".

• vce can also be a function. In that case the covariance matrix is estimated by calling that function: vce(model).

• Finally, a covariance matrix can be passed directly to vce.

The model object should support the coef and vcov methods.

Value

A named vector with the standard errors of the estimates.

See Also

sandwich::vcovHC, sandwich::NeweyWest.

Examples

data("hprice1")

mod <- lm(price ~ sqrft + bdrms, data = hprice1)
se(mod)

# Get heteroskedasticity robust standard errors
se(mod, vce = "HC")

jcpernias/ec1027 documentation built on Dec. 20, 2021, 10:03 p.m.