vcov {gmm} | R Documentation |
It extracts the matrix of variances and covariances from gmm
or gel
objects.
## S3 method for class 'gmm': vcov(object, ...) ## S3 method for class 'gel': vcov(object, lambda = FALSE, ...)
object |
An object of class gmm or gmm returned by the function gmm or gel |
lambda |
If set to TRUE, the covariance matrix of the Lagrange multipliers is produced. |
... |
Other arguments when vcov is applied to another class object |
A matrix of variances and covariances
# GMM # n = 500 phi<-c(.2,.7) thet <- 0 sd <- .2 x <- matrix(arima.sim(n = n,list(order = c(2,0,1), ar = phi, ma = thet, sd = sd)), ncol = 1) y <- x[7:n] ym1 <- x[6:(n-1)] ym2 <- x[5:(n-2)] H <- cbind(x[4:(n-3)], x[3:(n-4)], x[2:(n-5)], x[1:(n-6)]) g <- y ~ ym1 + ym2 x <- H res <- gmm(g, x) vcov(res) ## GEL ## t0 <- c(0,.5,.5) res <- gel(g, x, t0) vcov(res) vcov(res, lambda = TRUE)