vcov_custom

<code>vcov_custom</code> creates the Variance-Covariance matrix of a regression. It
is used instead of the <code><a href="/link/vcov?package=ARDL&version=0.2.4" data-mini-rdoc="ARDL::vcov">vcov</a></code> because the latter doesn't
work with <code><a href="/link/.lm.fit?package=ARDL&version=0.2.4" data-mini-rdoc="ARDL::.lm.fit">.lm.fit</a></code>.

internal

Creates complex autoregressive distributed lag (ARDL) models and
constructs the underlying unrestricted and restricted error correction
model (ECM) automatically, just by providing the order. It also performs
the bounds-test for cointegration as described in Pesaran et al. (2001)
<doi:10.1002/jae.616> and provides the multipliers and the cointegrating
equation. The validity and the accuracy of this package have been verified
by successfully replicating the results of Pesaran et al. (2001) in
Natsiopoulos and Tzeremes (2022) <doi:10.1002/jae.2919>.

Kleanthis Natsiopoulos

ARDL

ARDL, ECM and Bounds-Test for Cointegration

Nickolaos Tzeremes

vcov_custom function

<dl><dt>indep_vars</dt>
<dd>A matrix representing the independent variables.</dd>
<dt>model_res</dt>
<dd>A numeric vector representing the regression's residuals.</dd></dl>

Arguments

Kleanthis Natsiopoulos, <a href="/link/klnatsio%40gmail.com?package=ARDL&version=0.2.4" data-mini-rdoc="ARDL::klnatsio@gmail.com">klnatsio@gmail.com</a>

Author

<code>vcov_custom</code> creates the Variance-Covariance matrix of a regression. It
is used instead of the <code><a href='https://rdrr.io/r/stats/vcov.html'>vcov</a></code> because the latter doesn't
work with <code><a href='https://rdrr.io/r/stats/lmfit.html'>.lm.fit</a></code>.

Variance-Covariance matrix of a regression — vcov_custom

<dl>

<dt>indep_vars</dt>
<dd>A matrix representing the independent variables.</dd>


<dt>model_res</dt>
<dd>A numeric vector representing the regression's residuals.</dd>

</dl>

Kleanthis Natsiopoulos, <a href='mailto:klnatsio@gmail.com'>klnatsio@gmail.com</a>

vcov_custom: Variance-Covariance matrix of a regression

Description

Usage

Value

Arguments

Author

See Also