vcovG {plm} | R Documentation |
Generic Lego building block for robust covariance matrix estimators of the vcovXX kind for panel models.
## S3 method for class 'plm' vcovG(x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"), cluster=c("group", "time"), l=0, inner=c("cluster", "white"), ...)
x |
an object of class |
type |
one of |
cluster |
one of |
l |
lagging order, defaulting to zero |
inner |
the function to be applied to the residuals inside the
sandwich: one of |
... |
further arguments |
.
vcovG
is the generic building block for use by higher-level
wrappers vcovHC, vcovSCC, vcovDC and vcovNW.
The main use of vcovG
is to be used internally by the former, but
it is made available in the user space for use in non-standard combinations.
An object of class "matrix"
containing the estimate of the covariance matrix of coefficients.
Giovanni Millo
Millo, G. (2014) Robust standard error estimators for panel models: a unifying approach Unpublished manuscript.
data("Produc", package="plm") zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc, model="pooling") ## reproduce Arellano's covariance matrix vcovG(zz, cluster="group", inner="cluster", l=0) ## use in coefficient significance test library(lmtest) ## define custom covariance function ## (in this example, same as vcovHC) myvcov <- function(x) vcovG(x, cluster="group", inner="cluster", l=0) ## robust significance test coeftest(zz, vcov=myvcov)