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Returns the variance-covariance matrix of the estimated coefficients for the fitted model. Specializes the vcov function for fitted market models.

Usage

# S4 method for market_fit
vcov(object)

Arguments

object

A fitted model object.

Value

A matrix of covariances for the estimated model coefficients.

Examples

# \donttest{
# estimate a model using the houses dataset
fit <- diseq_deterministic_adjustment(
  HS | RM | ID | TREND ~
    RM + TREND + W + CSHS + L1RM + L2RM + MONTH |
      RM + TREND + W + L1RM + MA6DSF + MA3DHF + MONTH,
  fair_houses(),
  correlated_shocks = FALSE,
  estimation_options = list(control = list(maxit = 1e+6))
)

# access the variance-covariance matrix
head(vcov(fit))
#>                  D_RM       D_CONST       D_TREND          D_W        D_CSHS
#> D_RM     0.7354634240 -0.0007726740  0.0273396184 -0.034274845 -3.333345e-04
#> D_CONST -0.0007726740  0.0037178974 -0.0130014913  0.114966509  1.435126e-04
#> D_TREND  0.0273396184 -0.0130014913  0.0533236192 -0.406119188 -5.495371e-04
#> D_W     -0.0342748446  0.1149665087 -0.4061191881  3.557175920  4.461858e-03
#> D_CSHS  -0.0003333345  0.0001435126 -0.0005495371  0.004461858  6.905621e-06
#> D_L1RM  -0.8843157973  0.0070351889 -0.1161602687  0.262924788  9.542487e-04
#>                D_L1RM        D_L2RM     D_MONTH02     D_MONTH03     D_MONTH04
#> D_RM    -0.8843157972  0.1513465326 -1.098230e-02 -7.731123e-03  8.072683e-03
#> D_CONST  0.0070351889 -0.0105454583 -1.477658e-03  1.870258e-03 -1.211979e-03
#> D_TREND -0.1161602687  0.1037833600  4.240916e-03 -6.931869e-03  5.535189e-03
#> D_W      0.2629247884 -0.3610760626 -4.524169e-02  5.801476e-02 -3.813737e-02
#> D_CSHS   0.0009542487 -0.0008011622 -4.968612e-05  7.576355e-05 -5.545915e-05
#> D_L1RM   1.6198584954 -0.7447977555  1.560168e-02  1.365070e-02 -2.080745e-02
#>             D_MONTH05     D_MONTH06     D_MONTH07    D_MONTH08     D_MONTH09
#> D_RM     4.508672e-03  4.667081e-03  6.174503e-03 -0.017323988 -3.424391e-03
#> D_CONST -6.731015e-04  3.022804e-04  2.009354e-03  0.003741649 -8.498612e-04
#> D_TREND  3.035939e-03 -6.453992e-04 -6.695186e-03 -0.015622329  2.708354e-03
#> D_W     -2.116000e-02  9.145893e-03  6.198335e-02  0.116987603 -2.615299e-02
#> D_CSHS  -3.063423e-05  8.429837e-06  7.407657e-05  0.000161754 -3.059621e-05
#> D_L1RM  -1.124055e-02 -7.341487e-03 -5.075205e-03  0.044429814  3.976871e-03
#>             D_MONTH10     D_MONTH11     D_MONTH12          S_RM       S_CONST
#> D_RM     9.202026e-03 -1.116982e-02  0.0156197544 -5.476145e-02 -3.630152e-03
#> D_CONST  1.329726e-03 -8.224963e-04 -0.0017835975  7.673435e-04  4.373428e-05
#> D_TREND -3.873916e-03  1.737824e-03  0.0079411308 -2.723162e-03 -2.939867e-04
#> D_W      4.074036e-02 -2.487092e-02 -0.0560035477  2.367556e-02  1.418848e-03
#> D_CSHS   4.519988e-05 -2.307113e-05 -0.0000810447  1.996777e-05  2.765131e-06
#> D_L1RM  -1.291755e-02  1.874515e-02 -0.0322236725  5.193296e-02  4.664187e-03
#>               S_TREND           S_W        S_L1RM      S_MA6DSF      S_MA3DHF
#> D_RM    -2.002602e-03 -6.543916e-02  5.839905e-02 -2.472859e-04 -1.622095e-03
#> D_CONST  2.846337e-06  5.879421e-04 -7.987350e-04  2.541550e-06  1.055088e-05
#> D_TREND -7.435048e-05 -2.864530e-03  2.879368e-03 -9.570610e-06 -6.424308e-05
#> D_W      1.176560e-04  1.854481e-02 -2.466480e-02  7.807998e-05  3.356964e-04
#> D_CSHS   9.407464e-07  2.605197e-05 -2.138805e-05  7.007133e-08  6.239860e-07
#> D_L1RM   2.465988e-03  6.944079e-02 -5.577776e-02  2.327270e-04  1.749691e-03
#>             S_MONTH02     S_MONTH03     S_MONTH04     S_MONTH05     S_MONTH06
#> D_RM    -2.506905e-02 -3.302147e-02  3.644730e-02  1.637339e-03  6.969788e-03
#> D_CONST  5.579885e-04  6.723163e-04 -7.417213e-04  3.240471e-05 -6.639241e-05
#> D_TREND -3.741163e-03 -4.532039e-03  4.956213e-03  1.527542e-05  7.887137e-04
#> D_W      1.811270e-02  2.183616e-02 -2.406687e-02  9.387175e-04 -2.323897e-03
#> D_CSHS   3.603319e-05  4.339322e-05 -4.757133e-05  2.260458e-07 -7.022592e-06
#> D_L1RM   3.943988e-02  5.039881e-02 -5.522816e-02 -2.576070e-03 -1.134819e-02
#>             S_MONTH07     S_MONTH08     S_MONTH09     S_MONTH10     S_MONTH11
#> D_RM    -0.0706497002  1.822023e-02 -0.0352163218  3.176555e-02  2.628743e-03
#> D_CONST  0.0019127535 -5.244287e-04  0.0006908581 -7.512750e-04 -2.418959e-04
#> D_TREND -0.0108241422  3.063126e-03 -0.0048756129  4.799713e-03  7.280136e-04
#> D_W      0.0611084761 -1.680237e-02  0.0225451057 -2.427047e-02 -7.413761e-03
#> D_CSHS   0.0001068797 -3.019097e-05  0.0000464592 -4.655006e-05 -8.299490e-06
#> D_L1RM   0.1039843443 -2.823047e-02  0.0548280920 -4.923243e-02 -1.813532e-03
#>             S_MONTH12       RM_DIFF    D_VARIANCE    S_VARIANCE
#> D_RM     6.934942e-02  0.4590252696  6.081423e-03 -5.718879e-03
#> D_CONST -1.672589e-03 -0.0037986788  2.796104e-05  2.074786e-05
#> D_TREND  1.022193e-02  0.0200565766  4.254473e-04 -5.660324e-04
#> D_W     -5.380737e-02 -0.1198091383  6.091353e-04  8.817948e-04
#> D_CSHS  -9.958375e-05 -0.0001848731 -3.087549e-06  4.839975e-06
#> D_L1RM  -1.044385e-01 -0.4882823375 -1.007129e-02  9.562553e-03
# }