Variance-Covariance Matrix for a Fitted Mid-Quantile Regression Model Object

This functions returns the variance-covariance matrix of the main parameters of a fitted midrq model object. The `main' parameters of the model correspond to those returned by coef.

# S3 method for class 'midrq'
vcov(object, numerical = FALSE, robust = FALSE, ...)

Arguments

object

an object of class midrq.

numerical

logical flag. If TRUE, the variance-covariance estimate is approximated by the inverse of the numerical Hessian.

robust

logical flag. If TRUE, the Huber-White covariance estimate is computed using the Huberized residuals.

...

not used.

References

Geraci, M. and A. Farcomeni. Mid-quantile regression for discrete responses. arXiv:1907.01945 [stat.ME]. URL: https://arxiv.org/abs/1907.01945.

Author

Marco Geraci with contributions from Alessio Farcomeni

See also

midrq