Description Usage Arguments Details Value Author(s) References See Also Examples
Nonparametric robust covariance matrix estimators a la Driscoll and Kraay for panel models with cross-sectional and serial correlation.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 | vcovSCC(x, ...)
## S3 method for class 'plm'
vcovSCC(
x,
type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"),
cluster = "time",
maxlag = NULL,
inner = c("cluster", "white", "diagavg"),
wj = function(j, maxlag) 1 - j/(maxlag + 1),
...
)
## S3 method for class 'pcce'
vcovSCC(
x,
type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"),
cluster = "time",
maxlag = NULL,
inner = c("cluster", "white", "diagavg"),
wj = function(j, maxlag) 1 - j/(maxlag + 1),
...
)
|
x |
an object of class |
... |
further arguments |
type |
the weighting scheme used, one of |
cluster |
switch for vcovG; set at |
maxlag |
either |
inner |
the function to be applied to the residuals inside the
sandwich: |
wj |
weighting function to be applied to lagged terms, |
vcovSCC
is a function for estimating a robust covariance matrix
of parameters for a panel model according to the
\insertCiteDRIS:KRAA:98;textualplm method, which is consistent
with cross–sectional and serial correlation in a T-asymptotic
setting and irrespective of the N dimension. The use with random
effects models is undocumented.
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 vcovSCC
(and the other variance-covariance estimators
provided in the package vcovHC
, vcovBK
, vcovNW
, vcovDC
) 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.
An object of class "matrix"
containing the estimate of
the covariance matrix of coefficients.
Giovanni Millo, partially ported from Daniel Hoechle's (2007) Stata code
CRIB:04plm
\insertRefDRIS:KRAA:98plm
\insertRefHOEC:07plm
\insertRefMACK:WHIT:85plm
\insertRefZEIL:04plm
sandwich::vcovHC()
from the sandwich
package for weighting schemes (type
argument).
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 = vcovSCC)
summary(zz, vcov = function(x) vcovSCC(x, method="arellano", type="HC1"))
## standard coefficient significance test
library(lmtest)
coeftest(zz)
## SCC robust significance test, default
coeftest(zz, vcov.=vcovSCC)
## idem with parameters, pass vcov as a function argument
coeftest(zz, vcov.=function(x) vcovSCC(x, type="HC1", maxlag=4))
## joint restriction test
waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovSCC)
## Not run:
## test of hyp.: 2*log(pc)=log(emp)
library(car)
linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovSCC)
## End(Not run)
|
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