vcov.feglm {capybara} | R Documentation |
Covariance matrix for GLMs
Description
Covariance matrix for the estimator of the structural parameters
from objects returned by feglm
. The covariance is computed
from the hessian, the scores, or a combination of both after convergence.
Usage
## S3 method for class 'feglm'
vcov(
object,
type = c("hessian", "outer.product", "sandwich", "clustered"),
...
)
Arguments
object |
an object of class |
type |
the type of covariance estimate required. |
... |
additional arguments. |
Value
A named matrix of covariance estimates.
A named matrix of covariance estimates.
References
Cameron, C., J. Gelbach, and D. Miller (2011). "Robust Inference With Multiway Clustering". Journal of Business & Economic Statistics 29(2).
See Also
Examples
# same as the example in feglm but extracting the covariance matrix
mod <- fepoisson(mpg ~ wt | cyl | am, mtcars)
round(vcov(mod, type = "clustered"), 5)