Covariance of a panqr fit
Usage
# S3 method for class 'panqr'
vcov(object, tau = NULL, ...)Value
the covariance matrix of the coefficients at quantile tau; when
several quantiles were fitted and tau is NULL, a list of matrices,
one per quantile
See also
Other panqr methods:
plot.panqr(),
summary.panqr()
Examples
set.seed(2)
d <- data.frame(id = rep(1:100, each = 5), t = rep(1:5, 100))
d$x <- rnorm(500) + rep(rnorm(100), each = 5)
d$y <- d$x + rep(rnorm(100), each = 5) + (1 + 0.2 * abs(d$x)) * rnorm(500)
fit <- panqr(y ~ x, data = d, index = c("id", "t"), tau = c(0.25, 0.75),
model = "mmqr")
vcov(fit, tau = 0.75)
#> x
#> x 0.003527145