vcovCR returns a sandwich estimate of the variance-covariance matrix
of a set of regression coefficient estimates from an ivreg object.
# S3 method for ivreg
vcovCR(obj, cluster, type, target = NULL,
inverse_var = NULL, form = "sandwich", ...)Fitted model for which to calcualte the variance-covariance matrix
Expression or vector indicating which observations belong to
the same cluster. Required for ivreg objects.
Character string specifying which small-sample adjustment should be used.
Optional matrix or vector describing the working
variance-covariance model used to calculate the CR2 and CR4
adjustment matrices. If a vector, the target matrix is assumed to be
diagonal. If not specified, the target is taken to be an identity matrix.
Optional logical indicating whether the weights used in
fitting the model are inverse-variance. If not specified, vcovCR
will attempt to infer a value.
Controls the form of the returned matrix. The default
"sandwich" will return the sandwich variance-covariance matrix.
Alternately, setting form = "meat" will return only the meat of the
sandwich and setting form = B, where B is a matrix of
appropriate dimension, will return the sandwich variance-covariance matrix
calculated using B as the bread.
Additional arguments available for some classes of objects.
An object of class c("vcovCR","clubSandwich"), which consists
of a matrix of the estimated variance of and covariances between the
regression coefficient estimates.