The Covariance Matrix of the Estimated Parameters
# S3 method for tsdistribution.estimate
vcov(object, adjust = FALSE, type = c("H", "OP", "QMLE", "NW"), ...)# S3 method for tsdistribution.spdestimate
vcov(object, ...)
The variance-covariance matrix of the estimated parameters.
an object of class tsdistribution.estimate
logical. Should a finite sample adjustment be made? This amounts to multiplication with n/(n-k) where n is the number of observations and k the number of estimated parameters.
valid choices are “H” for using the analytic hessian for the ‘bread’, “OP” for the outer product of gradients, “QMLE” for the Quasi-ML sandwich estimator (Huber-White), and “NW” for the Newey-West adjusted sandwich estimator (a HAC estimator).
additional parameters passed to the Newey-West bandwidth function to determine the optimal lags.