vcovPC.prais

Panel-corrected covariance matrix estimators for models of class <code>"prais"</code>.

The Prais-Winsten estimator (Prais & Winsten, 1954) takes into account AR(1) serial correlation of the errors in a linear regression model. The procedure recursively estimates the coefficients and the error autocorrelation of the specified model until sufficient convergence of the AR(1) coefficient is attained.

Franz X. Mohr

prais

Prais-Winsten Estimator for AR(1) Serial Correlation

vcovPC.prais function

<dl><dt>x</dt>
<dd>an object of class <code>"prais"</code>, usually, the result of a call to <code>prais_winsten</code>.</dd>
<dt>pairwise</dt>
<dd>logical. If <code>FALSE</code> (default), only those residuals from periods that are common to
all panels are used to computed the covariances. If <code>TRUE</code> all observations that can be matched by
period between two panels are used.</dd>
<dt>...</dt>
<dd>not used.</dd></dl>

Arguments

Extract Panel-Corrected Variance Covariance Matrix — vcovPC.prais

<dl>

<dt>x</dt>
<dd>an object of class <code>"prais"</code>, usually, the result of a call to <code>prais_winsten</code>.</dd>


<dt>pairwise</dt>
<dd>logical. If <code>FALSE</code> (default), only those residuals from periods that are common to
all panels are used to computed the covariances. If <code>TRUE</code> all observations that can be matched by
period between two panels are used.</dd>


<dt>...</dt>
<dd>not used.</dd>

</dl>

vcovPC.prais: Extract Panel-Corrected Variance Covariance Matrix

Description

Usage

Value

Arguments

Details

References

See Also