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