vcov.qrr {Qtools} | R Documentation |
Variance-Covariance Matrix for a Fitted Quantile Ratio Regression Model Object
Description
This functions returns the variance-covariance matrix of the coefficients of a fitted qrr
model object.
Usage
## S3 method for class 'qrr'
vcov(object, method = "approximate", R = 200, update = TRUE, ...)
Arguments
object |
an object of class qrr .
|
method |
if "approximate" , the variance-covariance estimate is approximated by the inverse of the numerical Hessian. The latter is calculated as detailed in Farcomeni and Geraci (2023). If "boot" , the variance-covariance estimate is calculated by means of ordinary bootstrap (see boot ).
|
R |
the number of bootstrap replications.
|
update |
logical flag. If TRUE (the default), the statistic to be resampled is obtained via an update of the qrr object. If FALSE , then the statistic to be resampled is obtained via a do.call of the qrr object. See details.
|
... |
not used.
|
Details
The use of update = FALSE
is preferred when the function vcov.qrr
is called from within another function.
Author(s)
Marco Geraci with contributions from Alessio Farcomeni
References
Farcomeni A. and Geraci M. Quantile ratio regression. 2023. Working Paper.
See Also
qrr
[Package
Qtools version 1.5.9
Index]