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]