GCCfactor (version 1.1.4)

vcov_POET: POET estimation of the covariance for the error terms

Description

This function generates POET covariance estimates for the error terms.

Usage

vcov_POET(object, C = 1.5)

Value

An \(N \times N\) covariance matrix.

Arguments

object

An S3 object of class 'multi_result' created by [multilevel()].

C

A positive constant in the adaptive threshold.

Examples

panel <- UKhouse # load the data
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                           depvar_header = "dlPrice", i_header = "Region",
                           j_header = "LPA_Type", t_header = "Date")
Sigma_e_POET <- vcov_POET(est_multi)