vcov {blm}

Get variance-covariance from blm and lexpit objects.

Description

Returns Hessian-based variance-covariance matrix of the fit of a blm or lexpit model. If any constraints are active, only the augmented Lagrangian takes this into account in the Hessian computation, so if augmented is FALSE, i.e. the adaptive barrier method of optimization is used, the covariance-variance might be inaccurate.

Methods

vcov

signature(object = "blm"): Extractor for variance-covariance of MLEs.

vcov

signature(object = "lexpit"): Extractor for variance-covariance of MLEs.

Author(s)

Stephanie Kovalchik [e-mail]