systemfit (version 0.8-0)

vcov.systemfit: Variance covariance matrix of coefficients

Description

These functions extract the variance covariance matrix of the coefficients from an object returned by systemfit.

Usage

## S3 method for class 'systemfit':
vcov( object, \dots )
   ## S3 method for class 'systemfit.equation':
vcov( object, \dots )

Arguments

object

an object of class systemfit or systemfit.equation.

...

other arguments.

Value

• vcov.systemfit returns the variance covariance matrix of all estimated coefficients.

See Also

systemfit, vcov

Examples

data( "Kmenta" )
demand <- consump ~ price + income
supply <- consump ~ price + farmPrice + trend
labels <- list( "demand", "supply" )
system <- list( demand, supply )

## perform OLS on each of the equations in the system
fitols <- systemfit( "OLS", system, labels, data = Kmenta )

## variance covariance matrix of all coefficients
vcov( fitols )

## variance covariance matrix of the coefficients in the first equation
vcov( fitols$eq[[1]] )

## variance covariance matrix of the coefficients in the second equation
vcov( fitols$eq[[2]] )