vcov.feglm {alpaca} | R Documentation |
vcov.feglm
computes an estimate of the covariance matrix of the estimator of the
structural parameters from objects returned by feglm
. The estimate is obtained
using the Hessian, the scores, or a combination of boths after convergence.
## S3 method for class 'feglm' vcov( object, type = c("hessian", "outer.product", "sandwich", "clustered"), cluster = NULL, cluster.vars = NULL, ... )
object |
an object of class |
type |
the type of covariance estimate required. |
cluster |
a symbolic description indicating the clustering of observations. |
cluster.vars |
deprecated; use |
... |
other arguments. |
Multi-way clustering is done using the algorithm of Cameron, Gelbach, and Miller (2011). An example is provided in the vignette "Replicating an Empirical Example of International Trade".
The function vcov.feglm
returns a named matrix of covariance estimates.
Cameron, C., J. Gelbach, and D. Miller (2011). "Robust Inference With Multiway Clustering". Journal of Business & Economic Statistics 29(2).