WH (version 2.0.0)

vcov.WH_1d: Compute variance-covariance matrix of fitted 1D WH model

Description

The variance-covariance matrix may be useful in case confidence intervals are required for quantities derived from the fitted values.

Usage

# S3 method for WH_1d
vcov(object, pred = TRUE, ...)

Value

The variance-covariance matrix for the fitted values

Arguments

object

An object of class "WH_1d" returned by the WH() function

pred

Should the variance-covariance matrix include the extrapolated values as well (if any) ?

...

Not used

Examples

object <- WH(portfolio_mort$d, portfolio_mort$ec)
vcov(object)

object_extra <- predict(object, newdata = 40:99)
V <- vcov(object_extra)