File: vcovCR.lm.Rd

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r-cran-clubsandwich 0.5.3-1
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% 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}}
}