epmrob.vcov {epmrob}

Extract Asymptotic Variance Covariance Matrix

Description

Extracts the variance covariance matrix of the robust endogenous probit model fit by applying a bootstrap.

Usage

epmrob.vcov(object, B = 200, control = rob.control())

Arguments

object

object of class "epmrob".

B

the number of samples used in the bootstrapping process used to calculate the variance covariance matrix.

control

a list of parameters for controlling the fitting process.

Details

The variance covariance matrix is estimated by applying a bootstrap

Value

Variance covariance matrix of the entire estimation procedure. Variance covariance matrix of the reduced stage or outcome stage can be extracted using the vcov function for the corresponding stage estimator, e.g. vcov(epmrob.object$stage1) or vcov(epmrob.object$stage2).

Author(s)

Mikhail Zhelonkin, Andre Bik, Andrea Naghi