feisr (version 1.3.0)

vcov.feis: Calculate Variance-Covariance Matrix for feis models

Description

Returns the variance-covariance matrix of the main parameters of an object of class "feis". By default, this is the unscaled variance-covariance matrix.

Usage

# S3 method for feis
vcov(object, ..., scale = FALSE)

Value

A matrix of the estimated covariances between the parameter estimates in the fitted FEIS model.

Arguments

object

an object of class "feis", fitted model.

...

further arguments.

scale

logical. If TRUE returns scaled vcov by sigma^2 (default is FALSE).

Details

By default, vcov() return the unscaled variance-covariance matrix of the fitted FEIS model. If set to scale = TRUE, the vcov is scaled by the nuisance parameter sigma^2 (as is object$vcov). Note that corrections for clustering (i.e. robust = TRUE in the fitted model) are ignored in vcov(). In this case, object$vcov will return the vcov with corrections for clustering.

See Also

feis, vcov, sigma

Examples

data("mwp", package = "feisr")
feis.mod <- feis(lnw ~ marry + enrol | exp,
                 data = mwp, id = "id")
vcov(feis.mod)
all.equal(vcov(feis.mod), feis.mod$vcov) # FALSE: not equal, because vcov() unscaled
all.equal(vcov(feis.mod, scale = TRUE), feis.mod$vcov) # equal