Extracts the variance covariance matrix of the robust endogenous probit model fit by applying a bootstrap.
epmrob.vcov(object, B = 200, control = rob.control())Variance covariance matrix of the entire estimation procedure. Variance covariance matrix of the reduced stage or outcome stage can be extracted using the vcov function for the corresponding stage estimator, e.g. vcov(epmrob.object$stage1) or vcov(epmrob.object$stage2).
object of class "epmrob".
the number of samples used in the bootstrapping process used to calculate the variance covariance matrix.
a list of parameters for controlling the fitting process.
Mikhail Zhelonkin, Andre Bik, Andrea Naghi
The variance covariance matrix is estimated by applying a bootstrap