[R] lmtest package - Difference between vcov and vcov.
Achim.Zeileis at uibk.ac.at
Sun Feb 19 20:39:56 CET 2017
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 ...
> 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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