vcovNW {plm} | R Documentation |
Nonparametric robust covariance matrix estimators a la Newey and West for panel models with serial correlation.
## S3 method for class 'plm' vcovNW(x, type = c("HC0", "sss", "HC1", "HC2", "HC3", "HC4"), maxlag=NULL, wj=function(j, maxlag) 1-j/(maxlag+1), ...)
x |
an object of class |
type |
one of |
maxlag |
either |
wj |
weighting function to be applied to lagged terms, |
... |
further arguments |
.
vcovNW
is a function for estimating a robust covariance matrix of
parameters for a panel model according to the Newey and West (1987)
method. The function works as a restriction of the Driscoll and Kraay
(1998) covariance to no cross–sectional correlation.
Weighting schemes are analogous to those in vcovHC
in package sandwich and are justified theoretically (although in the context of the standard linear model) by MacKinnon and White (1985) and Cribari-Neto (2004) (see Zeileis (2004)).
The main use of vcovNW
is to be an argument to other functions,
e.g. for Wald–type testing: argument vcov.
to coeftest()
, argument vcov
to
waldtest()
and other methods in the lmtest
package; and argument
vcov.
to linearHypothesis()
in the car package (see the examples). Notice that the vcov
and vcov.
arguments allow to
supply a function (which is the safest) or a matrix (see Zeileis (2004), 4.1-2 and examples below).
An object of class "matrix"
containing the estimate of the covariance matrix of coefficients.
Giovanni Millo
Cribari-Neto, F. (2004) Asymptotic inference under heteroskedasticity of unknown form. Computational Statistics & Data Analysis 45(2), pp. 215–233.
MacKinnon, J. G. and White, H. (1985) Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties. Journal of Econometrics 29(3), pp. 305–325.
Newey, W.K. & West, K.D. (1986) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3), pp. 703–708.
Zeileis, A. (2004) Econometric Computing with HC and HAC Covariance Matrix Estimators. Journal of Statistical Software, 11(10), pp. 1–17. URL http://www.jstatsoft.org/v11/i10/.
vcovHC
from the sandwich package for weighting schemes (type
argument).
library(lmtest) library(car) data("Produc", package="plm") zz <- plm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc, model="pooling") ## standard coefficient significance test coeftest(zz) ## NW robust significance test, default coeftest(zz, vcov.=vcovNW) ## idem with parameters, pass vcov as a function argument coeftest(zz, vcov.=function(x) vcovNW(x, type="HC1", maxlag=4)) ## joint restriction test waldtest(zz, update(zz, .~.-log(emp)-unemp), vcov=vcovNW) ## test of hyp.: 2*log(pc)=log(emp) linearHypothesis(zz, "2*log(pc)=log(emp)", vcov.=vcovNW)