vcovHAC-methods {gmm4}R Documentation

~~ Methods for Function vcovHAC in Package sandwich ~~

Description

Methods to compute the HAC covariance matrix of the moment matrix ~~

Methods

signature(x = "gmmModels")

Examples

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)

[Package gmm4 version 0.2-0 Index]