delta_method {ARDL} | R Documentation |
Delta method
Description
An internal generic function, customized for approximating the standard errors of the estimated multipliers.
Usage
delta_method(object, vcov_matrix = NULL)
## S3 method for class 'ardl'
delta_method(object, vcov_matrix = NULL)
## S3 method for class 'uecm'
delta_method(object, vcov_matrix = NULL)
Arguments
object |
An object of |
vcov_matrix |
The estimated covariance matrix of the random variable
that the transformation function uses to estimate the standard errors (and
so the t-statistics and p-values) of the multipliers. The default is
|
Details
The function invokes two different methods
, one for
objects of class
'ardl' and one for objects of
class
'uecm'. This is because of the different (but equivalent)
transformation functions that are used for each class/model ('ardl' and
'uecm') to estimate the multipliers.
Value
delta_method
returns a numeric vector of the same length as
the number of the independent variables (excluding the fixed ones) in the
model.
Author(s)
Kleanthis Natsiopoulos, klnatsio@gmail.com