vcovG

0th

Percentile

Generic Lego building block for Robust Covariance Matrix Estimators

Generic Lego building block for robust covariance matrix estimators of the vcovXX kind for panel models.

Keywords
regression
Usage
vcovG(x, ...)

# S3 method for plm vcovG( x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"), cluster = c("group", "time"), l = 0, inner = c("cluster", "white", "diagavg"), ... )

# S3 method for pcce vcovG( x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"), cluster = c("group", "time"), l = 0, inner = c("cluster", "white", "diagavg"), ... )

Arguments
x

an object of class "plm" or "pcce"

further arguments

type

the weighting scheme used, one of "HC0", "sss", "HC1", "HC2", "HC3", "HC4",

cluster

one of "group", "time",

l

lagging order, defaulting to zero

inner

the function to be applied to the residuals inside the sandwich: one of "cluster" or "white" or "diagavg",

Details

vcovG is the generic building block for use by higher--level wrappers vcovHC(), vcovSCC(), vcovDC(), and vcovNW(). The main use of vcovG is to be used internally by the former, but it is made available in the user space for use in non--standard combinations. For more documentation, see see wrapper functions mentioned.

Value

An object of class "matrix" containing the estimate of the covariance matrix of coefficients.

References

mil17bplm

See Also

vcovHC(), vcovSCC(), vcovDC(), vcovNW(), and vcovBK() albeit the latter does not make use of vcovG.

Aliases
  • vcovG
  • vcovG.plm
  • vcovG.pcce
Examples
# NOT RUN {
data("Produc", package="plm")
zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc,
model="pooling")
## reproduce Arellano's covariance matrix
vcovG(zz, cluster="group", inner="cluster", l=0)
## use in coefficient significance test
library(lmtest)
## define custom covariance function
## (in this example, same as vcovHC)
myvcov <- function(x) vcovG(x, cluster="group", inner="cluster", l=0)
## robust significance test
coeftest(zz, vcov.=myvcov)

# }
Documentation reproduced from package plm, version 2.2-5, License: GPL (>= 2)

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