vcov.msel: Calculate Variance-Covariance Matrix for a msel Object.

Description

Return the variance-covariance matrix of the parameters of msel model.

Usage

# S3 method for msel
vcov(
  object,
  ...,
  type = object$cov_type,
  n_cores = object$other$n_cores,
  n_sim = object$other$n_sim,
  recalculate = FALSE
)

Value

Returns numeric matrix which represents estimate of the asymptotic covariance matrix of model's parameters.

Arguments

object: an object of class msel.
...: further arguments (currently ignored).
type: character representing the type of the asymptotic covariance matrix estimator. It takes the same values as cov_type parameter of the msel function.
n_cores: positive integer representing the number of CPU cores used for parallel computing. If possible it is highly recommend to set it equal to the number of available physical cores especially when the system of ordered equations has 2 or 3 equations.
n_sim: integer representing the number of GHK draws when there are more than 3 ordered equations. Otherwise alternative (much more efficient) algorithms will be used to calculate multivariate normal probabilities.
recalculate: logical; if TRUE then covariance matrix will be recalculated even if 'type' is the same as 'cov_type' input argument of the model.

Details

Argument type is closely related to the argument cov_type of msel function. See 'Details' and 'Usage' sections of msel for more information on cov_type argument.