vcovPC {pcse}R Documentation

Extract Panel-Corrected Variance Covariance Matrix

Description

The package pcse contains a function to estimate panel-corrected standard errors. Data may contain balanced or unbalanced panels. This function extracts the resulting variance covariance matrix.

Usage

vcovPC(x, ...)

## Default S3 method:
vcovPC(x, groupN, groupT, pairwise=FALSE, ...)

Arguments

x A lm object containing the initial run of OLS.
groupN A vector containing the cross-sectional group identifier for each observation.
groupT A vector containing the time identifier for each observation.
pairwise An optional logical flag indicating whether the X's used to estimate the "middle" matrix should be chosen in a pairwise fashion or casewise fashion. If pairwise, the correlation between observations $i$ and $j$ is based on the time periods common to $i$ and $j$. If casewise, the correlation between observations i and j is based on the largest rectangular subset of the data, i.e., $T_i$ = $T_j$ = $T^*$ for all $i$ and $j$ if casewise is selected.
... Further arguments passed to methods.

Author(s)

Delia Bailey <delia.bailey@gmail.com> and Jonathan N. Katz <jkatz@caltech.edu> Maintainer: Delia Bailey <delia.bailey@gmail.com>

Examples

## see demo file.

[Package pcse version 1.7 Index]