vcov.npsf {npsf} | R Documentation |
Extracts the variance-covariance matrix of the ML parameters of a stochastic frontier model estimated by sf
.
## S3 method for class 'npsf'
vcov( object, ... )
object |
an object of class |
... |
currently unused. |
The estimated variance-covariance matrix of the ML parameters is the inverse of the negative Hessian evaluated at the MLE.
vcov.npsf
returns the estimated variance-covariance matrix of the ML parameters.
Oleg Badunenko <oleg.badunenko@brunel.ac.uk>
coef.npsf
, nobs.npsf
, summary.npsf
, and sf
.
require( npsf )
# Load Penn World Tables 5.6 dataset
data( pwt56 )
head( pwt56 )
# Create some missing values
pwt56 [4, "K"] <- NA
# Stochastic production frontier model with
# homoskedastic error components (half-normal)
# Use subset of observations - for year 1965
m1 <- sf(log(Y) ~ log(L) + log(K), data = pwt56,
subset = year == 1965, distribution = "h")
vcov( m1 )