Covariance of a panselect fit

Covariance of a panselect fit

Usage

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

Arguments

object

a "panselect" fit

type

NULL (the default covariance of the fit), "boot" (panel bootstrap), "cluster" (cluster-robust by individual, ignoring the estimation of the first step) or "classical" (homoskedastic, also ignoring the first step)

...

unused

Value

the covariance matrix of the outcome-equation coefficients

See also

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

Examples

set.seed(3)
d <- data.frame(id = rep(1:100, each = 3), t = rep(1:3, 100))
d$x <- rnorm(300); d$z <- rnorm(300); v <- rnorm(300)
d$s <- as.numeric(0.5 + d$x + d$z + v > 0)
d$y <- ifelse(d$s == 1, 1 + d$x + 0.5 * v + rnorm(300), NA)
fit <- panselect(s ~ x + z, y ~ x, data = d, index = c("id", "t"), boot = 0)
vcov(fit, type = "cluster")
#>                   x   lambda:1   lambda:2   lambda:3
#> x        0.01969311 0.02560123 0.02623059 0.03407757
#> lambda:1 0.02560123 0.22417871 0.09592534 0.09934233
#> lambda:2 0.02623059 0.09592534 0.23396494 0.06628292
#> lambda:3 0.03407757 0.09934233 0.06628292 0.24408854