Variance-Covariance Matrix for SIR Model Parameters

Returns the variance-covariance matrix of the estimated parameters. Two types are available: classical (inverse Hessian) and robust (sandwich estimator). The robust version is more reliable when the model is misspecified or when observations are not independent.

Usage

# S3 method for class 'sir'
vcov(object, type = c("classical", "robust"), ...)

Arguments

object

A fitted sir object from sir.

type

Character string: "classical" (default) for Hessian-based vcov, or "robust" for the sandwich estimator.

...

Additional arguments (unused).

Value

A square matrix with rows and columns named by parameter. Returns NULL if standard errors were not computed (calc_se = FALSE).

See also

confint.sir for confidence intervals.