Covariance of a paniv fit

Covariance of a paniv fit

Usage

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

Arguments

object

a "paniv" fit

type

NULL (the covariance stored on the fit), "classical" or "cluster"

cluster

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

...

unused

Value

the covariance matrix of the coefficients

See also

Other paniv methods: plot.pangmm(), predict.paniv(), summary.paniv()

Examples

set.seed(2)
d <- data.frame(id = rep(1:50, each = 4), t = rep(1:4, 50))
d$z <- rnorm(200); d$u <- rnorm(200)
d$x <- d$z + d$u + rnorm(200); d$y <- 1 + d$x + d$u + rnorm(200)
fit <- paniv(y ~ x | z, data = d, index = c("id", "t"), model = "pooling")
vcov(fit, type = "cluster")
#>              (Intercept)            x
#> (Intercept)  0.006622603 -0.001131347
#> x           -0.001131347  0.004784531