vcovNW: Newey and West (1987) Robust Covariance Matrix Estimator
Description Usage Arguments Details Value Author(s) References See Also Examples
Description
Nonparametric robust covariance matrix estimators a la Newey and West for panel models with serial correlation.
Usage
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 | vcovNW(x, ...)
## S3 method for class 'plm'
vcovNW(
x,
type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"),
maxlag = NULL,
wj = function(j, maxlag) 1 - j/(maxlag + 1),
...
)
## S3 method for class 'pcce'
vcovNW(
x,
type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"),
maxlag = NULL,
wj = function(j, maxlag) 1 - j/(maxlag + 1),
...
)
|
Arguments
x |
an object of class |
... |
further arguments |
type |
the weighting scheme used, one of |
maxlag |
either |
wj |
weighting function to be applied to lagged terms, |
Details
vcovNW is a function for estimating a robust covariance matrix of
parameters for a panel model according to the
\insertCiteNEWE:WEST:87;textualplm method. The function works
as a restriction of the \insertCiteDRIS:KRAA:98;textualplm covariance (see
vcovSCC()) to no cross–sectional correlation.
Weighting schemes specified by type are analogous to those in
sandwich::vcovHC() in package sandwich and are
justified theoretically (although in the context of the standard
linear model) by \insertCiteMACK:WHIT:85;textualplm and
\insertCiteCRIB:04;textualplm \insertCite@see @ZEIL:04plm.
The main use of vcovNW (and the other variance-covariance estimators
provided in the package vcovHC, vcovBK, vcovDC, vcovSCC) is to pass
it to plm's own functions like summary, pwaldtest, and phtest or
together with testing functions from the lmtest and car packages. All of
these typically allow passing the vcov or vcov. parameter either as a
matrix or as a function, e.g., for Wald–type testing: argument vcov. to
coeftest(), argument vcov to waldtest() and other methods in the
lmtest package; and argument vcov. to
linearHypothesis() in the car package (see the
examples), see \insertCite@ZEIL:04, 4.1-2 and examples belowplm.
Value
An object of class "matrix" containing the estimate of
the covariance matrix of coefficients.
Author(s)
Giovanni Millo
References
\insertRefCRIB:04plm
\insertRefDRIS:KRAA:98plm
\insertRefMACK:WHIT:85plm
\insertRefNEWE:WEST:87plm
\insertRefZEIL:04plm
See Also
sandwich::vcovHC() from the sandwich package
for weighting schemes (type argument).
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 | data("Produc", package="plm")
zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc, model="pooling")
## as function input to plm's summary method (with and without additional arguments):
summary(zz, vcov = vcovNW)
summary(zz, vcov = function(x) vcovNW(x, method="arellano", type="HC1"))
## standard coefficient significance test
library(lmtest)
coeftest(zz)
## NW robust significance test, default
coeftest(zz, vcov.=vcovNW)
## idem with parameters, pass vcov as a function argument
coeftest(zz, vcov.=function(x) vcovNW(x, type="HC1", maxlag=4))
## joint restriction test
waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovNW)
## Not run:
## test of hyp.: 2*log(pc)=log(emp)
library(car)
linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovNW)
## End(Not run)
|
