vcovCR.ivreg {clubSandwich} | R Documentation |
vcovCR
returns a sandwich estimate of the variance-covariance matrix
of a set of regression coefficient estimates from an ivreg
object.
## S3 method for class 'ivreg' vcovCR(obj, cluster, type, target = NULL, inverse_var = FALSE, form = "sandwich", ...)
obj |
Fitted model for which to calculate the variance-covariance matrix |
cluster |
Expression or vector indicating which observations belong to
the same cluster. Required for |
type |
Character string specifying which small-sample adjustment should
be used, with available options |
target |
Optional matrix or vector describing the working
variance-covariance model used to calculate the |
inverse_var |
Not used for |
form |
Controls the form of the returned matrix. The default
|
... |
Additional arguments available for some classes of objects. |
An object of class c("vcovCR","clubSandwich")
, which consists
of a matrix of the estimated variance of and covariances between the
regression coefficient estimates.
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)