maxLik (version 0.8-0)

vcov.maxLik: Variance Covariance Matrix of maxLik objects

Description

Extract variance-covariance matrices of objects of class maxLik.

Usage

## S3 method for class 'maxLik':
vcov( object, eigentol=1e-12, ... )

Arguments

object

an object of class probit or maxLik.

eigentol

nonzero print limit on the range of the absolute values of the hessian. Specifically, define:

absEig <- eigen(hessian(object), symmetric=TRUE)[['values']]

Then compute and print t values, p values, etc. only if min(absEig) > (eigent

...

further arguments (currently ignored).

Value

• the estimated variance covariance matrix of the coefficients. In case of the estimated Hessian is singular, it's values are Inf. The values corresponding to fixed parameters are zero.

See Also

vcov, maxLik.

Examples

## ML estimation of exponential duration model:
t <- rexp(100, 2)
loglik <- function(theta) log(theta) - theta*t
gradlik <- function(theta) 1/theta - t
hesslik <- function(theta) -100/theta^2
## Estimate with numeric gradient and hessian
a <- maxLik(loglik, start=1, print.level=2)
vcov(a)
## Estimate with analytic gradient and hessian
a <- maxLik(loglik, gradlik, hesslik, start=1)
vcov(a)