vcov_local_factor {GCCfactor}R Documentation

Get the covariance estimates for the local factors

Description

This function generates the covariance estimates for the local factors in block i at time t.

Usage

vcov_local_factor(object, i, t)

Arguments

object

An S3 object of class 'multi_result' created by multilevel().

i

An integer indicating the i-th block.

t

An integer specifying the time point.

Value

An r_{i} \times r_{i} covariance matrix.

Examples

panel <- UKhouse # load the data
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                           depvar_header = "dlPrice", i_header = "Region",
                           j_header = "LPA_Type", t_header = "Date")
vcov_local_factor_11 <- vcov_local_factor(est_multi, i = 1, t = 1)

[Package GCCfactor version 1.1.0 Index]