vcov_global_factor {GCCfactor}R Documentation

Get the covariance estimates for the global factors

Description

This function generates the covariance estimates for the global factors at time t.

Usage

vcov_global_factor(object, t)

Arguments

object

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

t

An integer specifying the time

Value

An r_{0} \times r_{0} 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 <- vcov_global_factor(est_multi, t = est_multi$T / 2)

[Package GCCfactor version 1.1.0 Index]