vcovHAC-methods: Methods for Function 'vcovHAC' in Package 'sandwich'
In momentfit: Methods of Moments

vcovHAC-methods

R Documentation

Methods for Function `vcovHAC` in Package sandwich

Description

Methods to compute the HAC covariance matrix of the moment matrix ~~

Methods

signature(x = "momentModel")

Examples

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)

momentfit documentation built on Sept. 20, 2023, 3:01 a.m.