## File: vcovCR.ivreg.Rd

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r-cran-clubsandwich 0.5.3-1
 12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849505152535455565758596061626364656667686970 % Generated by roxygen2: do not edit by hand % Please edit documentation in R/ivreg.R \name{vcovCR.ivreg} \alias{vcovCR.ivreg} \title{Cluster-robust variance-covariance matrix for an ivreg object.} \usage{ \method{vcovCR}{ivreg}( obj, cluster, type, target = NULL, inverse_var = FALSE, form = "sandwich", ... ) } \arguments{ \item{obj}{Fitted model for which to calculate the variance-covariance matrix} \item{cluster}{Expression or vector indicating which observations belong to the same cluster. Required for \code{ivreg} objects.} \item{type}{Character string specifying which small-sample adjustment should be used, with available options \code{"CR0"}, \code{"CR1"}, \code{"CR1p"}, \code{"CR1S"}, \code{"CR2"}, or \code{"CR3"}. See "Details" section of \code{\link{vcovCR}} for further information.} \item{target}{Optional matrix or vector describing the working variance-covariance model used to calculate the \code{CR2} and \code{CR4} adjustment matrices. If a vector, the target matrix is assumed to be diagonal. If not specified, the target is taken to be an identity matrix.} \item{inverse_var}{Not used for \code{ivreg} objects.} \item{form}{Controls the form of the returned matrix. The default \code{"sandwich"} will return the sandwich variance-covariance matrix. Alternately, setting \code{form = "meat"} will return only the meat of the sandwich and setting \code{form = B}, where \code{B} is a matrix of appropriate dimension, will return the sandwich variance-covariance matrix calculated using \code{B} as the bread.} \item{...}{Additional arguments available for some classes of objects.} } \value{ An object of class \code{c("vcovCR","clubSandwich")}, which consists of a matrix of the estimated variance of and covariances between the regression coefficient estimates. } \description{ \code{vcovCR} returns a sandwich estimate of the variance-covariance matrix of a set of regression coefficient estimates from an \code{\link[AER]{ivreg}} object. } \examples{ library(AER) data("CigarettesSW") Cigs <- within(CigarettesSW, { rprice <- price/cpi rincome <- income/population/cpi tdiff <- (taxs - tax)/cpi }) iv_fit <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rincome) + tdiff + I(tax/cpi), data = Cigs) vcovCR(iv_fit, cluster = Cigs$state, type = "CR2") coef_test(iv_fit, vcov = "CR2", cluster = Cigs$state) } \seealso{ \code{\link{vcovCR}} }