The vcov method for gmnl objects extracts the covariance matrix of the coefficients or the random parameters. It also allows to get the standard errors for the variance-covariance matrix of the random parameters
# S3 method for gmnl
vcov(
object,
what = c("coefficient", "ranp"),
type = c("cov", "cor", "sd"),
se = FALSE,
Q = NULL,
digits = max(3, getOption("digits") - 2),
...
)a fitted model of class gmnl,
indicates which covariance matrix has to be extracted. The default is coefficient, in this case the vcov behaves as usual. If what = "ranp" the covariance matrix of the random parameters is returned as default,
if the model is estimated with random parameters, then this argument indicates what matrix should be returned. If type = "cov", then the covariance matrix of the random parameters is returned; if type = "cor" then the correlation matrix of the random parameters is returned; if type = "sd" then the standard deviation of the random parameters is returned,
if TRUE type = "cov" then the standard error of the covariance matrix of the random parameters is returned; if TRUE type = "sd" the standard error of the standard deviation of the random parameter is returned. This argument if valid only if the model is estimated using correlated random parameters,
this argument is only valid if the "mm" (MM-MNL) model is estimated. It indicates the class for which the variance-covariance matrix is computed,
number of digits,
further arguments
This new interface replaces the cor.gmnl, cov.gmnl and se.cov.gmnl functions which are deprecated.
gmnl for the estimation of multinomial logit models with random parameters.