vcov.felm function

Covariance matrix for LMs

Covariance matrix for the estimator of the structural parameters from objects returned by felm. The covariance is computed from the hessian, the scores, or a combination of both after convergence.

## S3 method for class 'felm'
vcov(
  object,
  type = c("hessian", "outer.product", "sandwich", "clustered"),
  ...
)

Arguments

• object: an object of class "felm".
• type: the type of covariance estimate required. "hessian" refers to the inverse of the negative expected hessian after convergence and is the default option. "outer.product" is the outer-product-of-the-gradient estimator. "sandwich" is the sandwich estimator (sometimes also referred as robust estimator), and "clustered" computes a clustered covariance matrix given some cluster variables.
• ...: additional arguments.

Returns

A named matrix of covariance estimates.

Examples

# same as the example in felm but extracting the covariance matrix

# subset trade flows to avoid fitting time warnings during check
set.seed(123)
trade_2006 <- trade_panel[trade_panel$year == 2006, ]
trade_2006 <- trade_2006[sample(nrow(trade_2006), 500), ]

mod <- felm(
  trade ~ log_dist + lang + cntg + clny | exp_year + imp_year | pair,
  trade_2006
)

round(vcov(mod, type = "clustered"), 5)

See Also

felm