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blm (version 2011.1.3)

vcov: Get variance-covariance from blm and lexpit objects.

Description

Returns Hessian-based variance-covariance matrix of the fit of a blm or lexpit model. If any constraints are active, only the augmented Lagrangian takes this into account in the Hessian computation, so if augmented is FALSE, i.e. the adaptive barrier method of optimization is used, the covariance-variance might be inaccurate.

Arguments