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)

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     0.5131140177 -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
# }