vcovG {plm}R Documentation

Generic Lego building block for Robust Covariance Matrix Estimators

Description

Generic Lego building block for robust covariance matrix estimators of the vcovXX kind for panel models.

Usage

## S3 method for class 'plm'
vcovG(x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"),
                      cluster=c("group", "time"),
                      l=0,
                      inner=c("cluster", "white","diagavg"),
                      ...)

Arguments

x

an object of class "plm" or "pcce"

type

one of "HC0", "sss", "HC1", "HC2", "HC3", "HC4",

cluster

one of "group", "time",

l

lagging order, defaulting to zero

inner

the function to be applied to the residuals inside the sandwich: one of "cluster" or "white" or "diagavg",

...

further arguments

.

Details

vcovG is the generic building block for use by higher–level wrappers vcovHC, vcovSCC, vcovDC, and vcovNW. The main use of vcovG is to be used internally by the former, but it is made available in the user space for use in non–standard combinations. For more documentation, see see wrapper functions mentioned.

Value

An object of class "matrix" containing the estimate of the covariance matrix of coefficients.

Author(s)

Giovanni Millo

References

Millo, G. (2014) Robust standard error estimators for panel models: a unifying approach Unpublished manuscript.

See Also

vcovHC, vcovSCC, vcovDC, vcovNW, and vcovBK albeit the latter does not make use of vcovG.

Examples

data("Produc", package="plm")
zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc,
model="pooling")
## reproduce Arellano's covariance matrix
vcovG(zz, cluster="group", inner="cluster", l=0)
## use in coefficient significance test
library(lmtest)
## define custom covariance function
## (in this example, same as vcovHC)
myvcov <- function(x) vcovG(x, cluster="group", inner="cluster", l=0)
## robust significance test
coeftest(zz, vcov.=myvcov)
[Package plm version 1.6-5 Index]