Calculate Variance-Covariance Matrix for a Fitted Model Object

Calculate Variance-Covariance Matrix for a Fitted Model Object

# S3 method for class 'ivx'
vcov(object, complete = TRUE, ...)

# S3 method for class 'summary.ivx'
vcov(object, complete = TRUE, ...)

Arguments

object

a fitted ivx and summary.ivx object.

complete

logical indicating if the full variance-covariance matrix should be returned. When complete = TRUE, vcov() is compatible with coef().

...

additional arguments for method functions.

Value

A matrix of the estimated covariances between the parameter estimates of the model. This should have row and column names corresponding to the parameter names given by the coef method.

Examples

mod <- ivx(Ret ~ LTY, data = monthly)

vcov(mod)
#>             LTY
#> LTY 0.004156707