vcov.npsf {npsf}

'vcov' method for class 'npsf'

Description

Extracts the variance-covariance matrix of the ML parameters of a stochastic frontier model estimated by sf.

Usage

 ## S3 method for class 'npsf'
vcov( object, ... )

Arguments

object

an object of class npsf returned by the function sf.

...

currently unused.

Details

The estimated variance-covariance matrix of the ML parameters is the inverse of the negative Hessian evaluated at the MLE.

Value

vcov.npsf returns the estimated variance-covariance matrix of the ML parameters.

Author(s)

Oleg Badunenko <[e-mail]>

See Also

coef.npsf, nobs.npsf, summary.npsf, and sf.

Examples

require( npsf )
 
# Load Penn World Tables 5.6 dataset
 
data( pwt56 )
head( pwt56 )
 
# Create some missing values
 
pwt56 [4, "K"] <- NA 
 
# Stochastic production frontier model with 
# homoskedastic error components (half-normal)
 
# Use subset of observations - for year 1965
 
m1 <- sf(log(Y) ~ log(L) + log(K), data = pwt56, 
 subset = year == 1965, distribution = "h")
vcov( m1 )