varcov: Calculate (co)variance matrix of an ARF model.
Description
Calculate (co)variance matrix of the parameters in an ARF model using Sandwich estimation. The method of Sandwich estimation can be modified via the options object of the ARF model.
Usage
varcov(arfmodel)
Arguments
arfmodel
A valid ARF model object.
Value
Returns an object of class "model" with the appropriate slots.
Details
varcov needs first-order derivatives and residual matrices, if they do not exist, they are created automatically.