## File: vcovCR.lm.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/lm.R \name{vcovCR.lm} \alias{vcovCR.lm} \title{Cluster-robust variance-covariance matrix for an lm object.} \usage{ \method{vcovCR}{lm}( obj, cluster, type, target = NULL, inverse_var = NULL, 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{lm} 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}{Optional logical indicating whether the weights used in fitting the model are inverse-variance. If not specified, \code{vcovCR} will attempt to infer a value.} \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{lm}} object. } \examples{ data("Produc", package = "plm") lm_individual <- lm(log(gsp) ~ 0 + state + log(pcap) + log(pc) + log(emp) + unemp, data = Produc) individual_index <- !grepl("state", names(coef(lm_individual))) vcovCR(lm_individual, cluster = Produc\$state, type = "CR2")[individual_index,individual_index] # compare to plm() plm_FE <- plm::plm(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, index = c("state","year"), effect = "individual", model = "within") vcovCR(plm_FE, type="CR2") } \seealso{ \code{\link{vcovCR}} }