setup_vcov {GenericML} | R Documentation |
Setup function for vcov_control
arguments
Description
Returns a list with two elements called estimator
and arguments
. The element estimator
is a string specifying the covariance matrix estimator to be used in the linear regression regression of interest and needs to be a covariance estimator function in the "sandwich" package. The second element, arguments
, is a list of arguments that shall be passed to the function specified in the first element, estimator
.
Usage
setup_vcov(estimator = "vcovHC", arguments = list(type = "const"))
Arguments
estimator |
Character specifying a covariance matrix estimator in the "sandwich" package. Default is |
arguments |
A list of arguments that are to be passed to the function in the |
Details
The output of this setup function is intended to be used as argument in the functions GenericML()
and GenericML_single()
(arguments vcov_BLP
, vcov_GATES
), as well as BLP()
and GATES()
(argument vcov_control
).
Value
An object of class "setup_vcov"
, consisting of the following components:
estimator
A character equal to covariance estimation function names in the "sandwich" package.
arguments
A list of arguments that shall be passed to the function specified in the
estimator
argument.
See the description above for details.
References
Zeileis A. (2004). “Econometric Computing with HC and HAC Covariance Matrix Estimators.” Journal of Statistical Software, 11(10), 1–17. doi: 10.18637/jss.v011.i10
Zeileis A. (2006). “Object-Oriented Computation of Sandwich Estimators.” Journal of Statistical Software, 16(9), 1–16. doi: 10.18637/jss.v016.i09
See Also
GenericML()
,
GenericML_single()
,
BLP()
,
GATES()
,
setup_X1()
,
setup_diff()
Examples
# use standard homoskedastic OLS covariance matrix estimate
setup_vcov(estimator = "vcovHC", arguments = list(type = "const"))
# use White's heteroskedasticity-robust estimator
setup_vcov(estimator = "vcovHC", arguments = list(type = "HC0"))
if (require("sandwich")){
# use HAC-robust estimator with prewhitening and Andrews' (Econometrica, 1991) weights
# since weightsAndrews() is a function in 'sandwich', require this package
setup_vcov(estimator = "vcovHAC", arguments = list(prewhite = TRUE, weights = weightsAndrews))
}