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)
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
# }