gcmr (version 0.7.0)

estfun.gcmr: Components for Sandwich Variance Estimation in Gaussian Marginal Regression Models

Description

Extracts components for computation of the sandwich variance-covariance matrix (Zeileis, 2004; 2006).

Usage

## S3 method for class 'gcmr':
estfun(x, ...)
## S3 method for class 'gcmr':
bread(x, ...)

Arguments

x

a fitted marginal regression model of class gcmr.

...

further arguments passed to methods.

Value

• estfun: a matrix containing the empirical estimating functions.

  bread: a matrix containing the `bread' of the sandwich estimator.

Details

These functions are passed to sandwich (Zeileis, 2004; 2006).

References

Zeileis, A. (2004). Econometric computing with HC and HAC covariance matrix estimators. Journal of Statistical Software 11, issue 10.

Zeileis, A. (2006). Object-oriented computation of sandwich estimators. Journal of Statistical Software 16, issue 9.

See Also

bread, estfun, gcmr, sandwich.