robVcov and robustVcov calculates the asymptotic variance for Z-estimators.
robustVcov(U, d.U.sum, id = NULL)
robVcov(U, d.U, id = NULL)A n x q matrix of the estimating equations evaluated at the estimated model parameters, where n is the number of observations and q is the number of estimating equations.
The sum of the jacobian of U evaluated at the solution to the
estimating equations, with rows corresponding to the estimating
equations and columns corresponding to the model parameters. The
number of model parameters is assumed to equal the number of
estimating equations such that d.U.sum is a q x q square matrix.
The mean of d.U.sum taken over all observations.
A factor with levels corresponding the clusters in the data. Default
is NULL in which case all observations are considered to be independent.
The estimated covariance matrix.
For robust variance estimation, see van der Vaart (2000).
For clustered data, the rows in U are added clusterwise
resulting in a cluster robust estimate of the variance.
van der Vaart, A.W. (2000), Asymptotic Statistics, Cambridge University Press, pp. 52--53.