diseq (version 0.4.6)

vcov,market_fit-method: Variance-covariance matrix for a fitted market model.

Description

Returns the variance-covariance matrix of the estimated coefficients for the fitted model. Specializes the vcov function for fitted market models.

Usage

# S4 method for market_fit
vcov(object)

Arguments

object

A fitted model object.

Value

A matrix of covariances for the estimated model coefficients.

Examples

# NOT RUN {
# estimate a model using the houses dataset
fit <- diseq_deterministic_adjustment(
  HS | RM | ID | TREND ~
  RM + TREND + W + CSHS + L1RM + L2RM + MONTH |
  RM + TREND + W + L1RM + MA6DSF + MA3DHF + MONTH,
  fair_houses(),  correlated_shocks = FALSE,
  estimation_options = list(control = list(maxit = 1e+6)))

# access the variance-covariance matrix
head(vcov(fit))
# }