An internal generic function, customized for approximating the standard errors of the estimated multipliers.
delta_method(object, vcov_matrix = NULL)# S3 method for ardl
delta_method(object, vcov_matrix = NULL)
# S3 method for uecm
delta_method(object, vcov_matrix = NULL)
An object of class 'ardl' or 'uecm'.
The estimated covariance matrix of the random variable
that the transformation function uses to estimate the standard errors (and
so the t-statistics and p-values) of the multipliers. The default is
vcov(object) (when vcov_matrix = NULL), but other estimations
of the covariance matrix of the regression's estimated coefficients can
also be used (e.g., using vcovHC or
vcovHAC).
delta_method returns a numeric vector of the same length as
the number of the independent variables (excluding the fixed ones) in the
model.
The function invokes two different methods, one for
objects of class 'ardl' and one for objects of
class 'uecm'. This is because of the different (but equivalent)
transformation functions that are used for each class/model ('ardl' and
'uecm') to estimate the multipliers.