Returns the variance-covariance matrix of the estimated coefficients for
the fitted model. Specializes the vcov function for
fitted market models.
# S4 method for market_fit
vcov(object)A fitted model object.
A matrix of covariances for the estimated model coefficients.
# \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 0.5131140177 -0.0005390749 0.0190741526 -0.023912681 -2.325589e-04
#> D_CONST -0.0005390751 0.0025938819 -0.0090708079 0.080209192 1.001251e-04
#> D_TREND 0.0190741537 -0.0090708078 0.0372025249 -0.283338967 -3.833979e-04
#> D_W -0.0239126818 0.0802091921 -0.2833389671 2.481750640 3.112924e-03
#> D_CSHS -0.0002325590 0.0001001251 -0.0003833979 0.003112924 4.817875e-06
#> D_L1RM -0.6169645109 0.0049082713 -0.0810420483 0.183435898 6.657549e-04
#> D_L1RM D_L2RM D_MONTH02 D_MONTH03 D_MONTH04
#> D_RM -0.6169645109 0.1055906044 -7.662067e-03 -5.393807e-03 5.632105e-03
#> D_CONST 0.0049082717 -0.0073572966 -1.030924e-03 1.304831e-03 -8.455669e-04
#> D_TREND -0.0810420501 0.0724069961 2.958779e-03 -4.836188e-03 3.861760e-03
#> D_W 0.1834358975 -0.2519135311 -3.156397e-02 4.047542e-02 -2.660747e-02
#> D_CSHS 0.0006657549 -0.0005589504 -3.466473e-05 5.285829e-05 -3.869243e-05
#> D_L1RM 1.1301338355 -0.5196263414 1.088489e-02 9.523743e-03 -1.451682e-02
#> D_MONTH05 D_MONTH06 D_MONTH07 D_MONTH08 D_MONTH09
#> D_RM 3.145585e-03 3.256103e-03 4.307793e-03 -0.0120865030 -0.0023891097
#> D_CONST -4.696057e-04 2.108933e-04 1.401875e-03 0.0026104528 -0.0005929264
#> D_TREND 2.118097e-03 -4.502785e-04 -4.671060e-03 -0.0108992992 0.0018895490
#> D_W -1.476279e-02 6.380855e-03 4.324420e-02 0.0816192576 -0.0182462748
#> D_CSHS -2.137272e-05 5.881281e-06 5.168133e-05 0.0001128516 -0.0000213462
#> D_L1RM -7.842244e-03 -5.121968e-03 -3.540840e-03 0.0309975443 0.0027745614
#> D_MONTH10 D_MONTH11 D_MONTH12 S_RM S_CONST
#> D_RM 0.0064200180 -7.792895e-03 1.089750e-02 -0.0382056634 -2.532664e-03
#> D_CONST 0.0009277156 -5.738346e-04 -1.244370e-03 0.0005353559 3.051229e-05
#> D_TREND -0.0027027320 1.212435e-03 5.540324e-03 -0.0018998802 -2.051070e-04
#> D_W 0.0284235073 -1.735180e-02 -3.907224e-02 0.0165178310 9.898941e-04
#> D_CSHS 0.0000315348 -1.609614e-05 -5.654282e-05 0.0000139310 1.929161e-06
#> D_L1RM -0.0090122468 1.307801e-02 -2.248163e-02 0.0362322990 3.254084e-03
#> S_TREND S_W S_L1RM S_MA6DSF S_MA3DHF
#> D_RM -1.397164e-03 -4.565523e-02 4.074352e-02 -1.725250e-04 -1.131694e-03
#> D_CONST 1.985816e-06 4.101922e-04 -5.572570e-04 1.773175e-06 7.361078e-06
#> D_TREND -5.187243e-05 -1.998509e-03 2.008862e-03 -6.677170e-06 -4.482076e-05
#> D_W 8.208560e-05 1.293824e-02 -1.720800e-02 5.447441e-05 2.342068e-04
#> D_CSHS 6.563347e-07 1.817579e-05 -1.492189e-05 4.888698e-08 4.353391e-07
#> D_L1RM 1.720457e-03 4.844706e-02 -3.891471e-02 1.623677e-04 1.220714e-03
#> S_MONTH02 S_MONTH03 S_MONTH04 S_MONTH05 S_MONTH06
#> D_RM -1.749003e-02 -2.303824e-02 0.0254283464 1.142329e-03 4.862642e-03
#> D_CONST 3.892943e-04 4.690579e-04 -0.0005174800 2.260795e-05 -4.632033e-05
#> D_TREND -2.610114e-03 -3.161888e-03 0.0034578233 1.065722e-05 5.502655e-04
#> D_W 1.263676e-02 1.523453e-02 -0.0167908429 6.549196e-04 -1.621325e-03
#> D_CSHS 2.513944e-05 3.027434e-05 -0.0000331893 1.577069e-07 -4.899485e-06
#> D_L1RM 2.751619e-02 3.516196e-02 -0.0385312726 -1.797258e-03 -7.917343e-03
#> S_MONTH07 S_MONTH08 S_MONTH09 S_MONTH10 S_MONTH11
#> D_RM -4.929049e-02 1.271179e-02 -0.0245695269 2.216201e-02 1.834007e-03
#> D_CONST 1.334479e-03 -3.658805e-04 0.0004819940 -5.241453e-04 -1.687646e-04
#> D_TREND -7.551727e-03 2.137065e-03 -0.0034015904 3.348637e-03 5.079165e-04
#> D_W 4.263382e-02 -1.172259e-02 0.0157291428 -1.693289e-02 -5.172391e-03
#> D_CSHS 7.456726e-05 -2.106347e-05 0.0000324134 -3.247679e-05 -5.790342e-06
#> D_L1RM 7.254722e-02 -1.969568e-02 0.0382521572 -3.434821e-02 -1.265255e-03
#> S_MONTH12 RM_DIFF D_VARIANCE S_VARIANCE
#> D_RM 4.838332e-02 0.3202501879 4.242853e-03 -3.989916e-03
#> D_CONST -1.166923e-03 -0.0026502412 1.950770e-05 1.447527e-05
#> D_TREND 7.131578e-03 0.0139929611 2.968237e-04 -3.949064e-04
#> D_W -3.754003e-02 -0.0835877709 4.249782e-04 6.152063e-04
#> D_CSHS -6.947704e-05 -0.0001289812 -2.154104e-06 3.376727e-06
#> D_L1RM -7.286408e-02 -0.3406620954 -7.026479e-03 6.671548e-03
# }