On Sun, 19 Feb 2017, T.Riedle wrote:
Dear all,
I want to run a regression using coeftest() in combination with the
waldtest() function from the lmtest package. I am confused about the
argument vcov. The coeftest uses vcov. whereas according to the manual
waldtest uses vcov and I am not sure about the difference between vcov.
in coeftest() and vcov in waldtest().
In both cases this is intended to be used as "vcov = ..." by the end-user,
e.g., "vcov = sandwich" etc. The reason why "vcov." rather than "vcov" was
used was to avoid name confusions in pre-NAMESPACE times.
The 'trick' with vcov. (rather than vcov) could not be used in waldtest()
because that always requires exact matching due to the preceeding ...
argument..
If I use vcov. and vcov in the waldtest, I get different results for the
F-test and the p-value. In addition, vcov. returns an error message that
for numeric model specifications all values have to be >=1.
Yes, because then the specification goes into '...' rather than 'vcov' and
is interpreted as a rule for model updating. This cannot work, though.
The sandwich package vignette (e.g. p. 10) uses vcov = ... as argument
in the coeftest() function.
Hence, my question is which argument to use in the both functions coeftest()
and waldtest(). Shall I use vcov. in coeftest() and vcov in waldtest() or
should I use vcov in both functions?
I kindly ask for your help.
Thanks in advance.
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