vcovHAC-methods {gmm4} | R Documentation |
vcovHAC
in Package sandwich ~~Methods to compute the HAC covariance matrix of the moment matrix ~~
signature(x = "gmmModels")
data(simData) theta <- c(beta0=1,beta1=2) model1 <- gmmModel(y~x1, ~z1+z2, data=simData) # a warning is given if the model is not set as being HAC vcovHAC(model1, theta) model1 <- gmmModel(y~x1, ~z1+z2, data=simData, vcov="HAC",vcovOptions=list(kernel="B")) vcovHAC(model1, theta)