Covariance of a panfmm fit

Covariance of a panfmm fit

Usage

# S3 method for class 'panfmm'
vcov(object, type = NULL, cluster = NULL, ...)

Arguments

object

a "panfmm" fit

type

NULL (the covariance stored on the fit), "classical" (inverse of the negative Hessian of the observed-data log-likelihood) or "cluster" (sandwich with individual scores summed within clusters, factor G / (G - 1); with weights the individual scores are multiplied by the individual weights)

cluster

optional clustering vector with one value per observation used in the fit (in the row order of the data), constant within individuals; defaults to the individual

...

unused

Value

the covariance matrix of all parameters

See also

Other panfmm methods: plot.panfmm(), predict.panfmm(), summary.panfmm()

Examples

set.seed(3)
d <- data.frame(id = rep(1:150, each = 3), t = rep(1:3, 150), x = rnorm(450))
d$y <- rpois(450, exp(ifelse(rep(rbinom(150, 1, 0.4), each = 3) == 1, 1.5, 0) + 0.3 * d$x))
fit <- panfmm(y ~ x, data = d, index = c("id", "t"), nstart = 2, seed = 1)
sqrt(diag(vcov(fit, type = "cluster")))
#> class1:(Intercept)           class1:x class2:(Intercept)           class2:x 
#>         0.07390899         0.05899464         0.04201631         0.03487727 
#> prior2:(Intercept) 
#>         0.17663282