vcov method for mlogit objects

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Description

The vcov method for mlogit objects extract the covariance matrix of the coefficients, the errors or the random parameters.

Usage

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## S3 method for class 'mlogit'
vcov(object, what = c('coefficient', 'errors', 'rpar'),
                        type = c('cov', 'cor', 'sd'), reflevel = NULL, ...)

Arguments

object

a mlogit object,

what

indicates which covariance matrix has to be extracted : the default value is coefficients, in this case, vcov behaves as usual. If what equals errors the covariance matrix of the errors of the model is returned. Finally, if what equals rpar, the covariance matrix of the random parameters are extracted.

type

with this argument, the covariance matrix may be returned (the default) ; the correlation matrix and the standard deviation vector may also be extracted.

reflevel

relevent for the extraction of the errors of a multinomial probit model ; in this case the covariance matrix is of error differences is returned and, with this argument, the alternative used for differentiation is indicated.

...

further arguments.

Details

This new interface replaces the cor.mlogit and cov.mlogit functions which are deprecated.

Author(s)

Yves Croissant

See Also

mlogit for the estimation of multinomial logit models.

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