vcovHAC-methods | R Documentation |
vcovHAC
in Package sandwich ~~Methods to compute the HAC covariance matrix of the moment objects ~~
signature(x = "momentModel")
signature(x = "sysModel")
data(simData)
theta <- c(beta0=1,beta1=2)
model1 <- momentModel(y~x1, ~z1+z2, data=simData)
# a warning is given if the model is not set as being HAC
vcovHAC(model1, theta)
model1 <- momentModel(y~x1, ~z1+z2, data=simData, vcov="HAC",vcovOptions=list(kernel="B"))
vcovHAC(model1, theta)
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