set.seed(456)
n_id <- 30
n_time <- 4
panel_data <- data.frame(
id = rep(1:n_id, each = n_time),
group = rep(c("A", "B"), length.out = n_id * n_time),
x = rnorm(n_id * n_time)
)
panel_data$m_x <- ave(panel_data$x, panel_data$id, FUN = mean)
panel_data$d_x <- panel_data$x - panel_data$m_x
panel_data$y <- 1 + panel_data$m_x + rnorm(n_id * n_time)
result <- xtvfreg(
formula = y ~ 1,
data = panel_data,
group = "group",
panel_id = "id",
mean_vars = c("m_x", "d_x"),
var_vars = "m_x",
verbose = FALSE
)
# Extract variance-covariance matrix
vcov(result, equation = "mean", group = "A")
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