Skip to contents

Cluster-robust variance-covariance matrix for an mlm object.

Source: R/mlm.R
vcovCR.mlm.Rd

vcovCR returns a sandwich estimate of the variance-covariance matrix of a set of regression coefficient estimates from an mlm object.

Usage

# S3 method for class 'mlm'
vcovCR(obj, cluster, type, target, inverse_var, form = "sandwich", ...)

Arguments

obj

Fitted model for which to calculate the variance-covariance matrix

cluster

Optional expression or vector indicating which observations belong to the same cluster. If not specified, each row of the data will be treated as a separate cluster.

type

Character string specifying which small-sample adjustment should be used, with available options "CR0", "CR1", "CR1p", "CR1S", "CR2", or "CR3". See "Details" section of vcovCR for further information.

target

Optional matrix or vector describing the working variance-covariance model used to calculate the CR2 and CR4 adjustment matrices. If not specified, the target is taken to be an identity matrix.

inverse_var

Optional logical indicating whether the weights used in fitting the model are inverse-variance. If not specified, vcovCR will attempt to infer a value.

form

Controls the form of the returned matrix. The default "sandwich" will return the sandwich variance-covariance matrix. Alternately, setting form = "meat" will return only the meat of the sandwich and setting form = B, where B is a matrix of appropriate dimension, will return the sandwich variance-covariance matrix calculated using B as the bread. form = "estfun" will return the (appropriately scaled) estimating function, the transposed crossproduct of which is equal to the sandwich variance-covariance matrix.

...

Additional arguments available for some classes of objects.

Value

An object of class c("vcovCR","clubSandwich"), which consists of a matrix of the estimated variance of and covariances between the regression coefficient estimates.

See also

vcovCR

Examples

iris_fit <- lm(cbind(Sepal.Length, Sepal.Width) ~ Species + 
               Petal.Length + Petal.Width, data = iris)
Vcluster <- vcovCR(iris_fit, type = "CR2")
Vcluster
#>                                Sepal.Length:(Intercept)
#> Sepal.Length:(Intercept)                    0.012547708
#> Sepal.Length:Speciesversicolor              0.013463389
#> Sepal.Length:Speciesvirginica               0.022738726
#> Sepal.Length:Petal.Length                  -0.007227063
#> Sepal.Length:Petal.Width                    0.002810727
#> Sepal.Width:(Intercept)                     0.006324275
#> Sepal.Width:Speciesversicolor               0.004545412
#> Sepal.Width:Speciesvirginica                0.007262239
#> Sepal.Width:Petal.Length                   -0.003231810
#> Sepal.Width:Petal.Width                     0.002072658
#>                                Sepal.Length:Speciesversicolor
#> Sepal.Length:(Intercept)                         0.0134633889
#> Sepal.Length:Speciesversicolor                   0.0380390801
#> Sepal.Length:Speciesvirginica                    0.0579846604
#> Sepal.Length:Petal.Length                       -0.0087024291
#> Sepal.Length:Petal.Width                        -0.0109399201
#> Sepal.Width:(Intercept)                          0.0045454124
#> Sepal.Width:Speciesversicolor                    0.0125587855
#> Sepal.Width:Speciesvirginica                     0.0176278866
#> Sepal.Width:Petal.Length                        -0.0039842873
#> Sepal.Width:Petal.Width                         -0.0000394729
#>                                Sepal.Length:Speciesvirginica
#> Sepal.Length:(Intercept)                         0.022738726
#> Sepal.Length:Speciesversicolor                   0.057984660
#> Sepal.Length:Speciesvirginica                    0.096974290
#> Sepal.Length:Petal.Length                       -0.013179441
#> Sepal.Length:Petal.Width                        -0.021314939
#> Sepal.Width:(Intercept)                          0.007262239
#> Sepal.Width:Speciesversicolor                    0.017627887
#> Sepal.Width:Speciesvirginica                     0.026715559
#> Sepal.Width:Petal.Length                        -0.005518284
#> Sepal.Width:Petal.Width                         -0.001400422
#>                                Sepal.Length:Petal.Length
#> Sepal.Length:(Intercept)                    -0.007227063
#> Sepal.Length:Speciesversicolor              -0.008702429
#> Sepal.Length:Speciesvirginica               -0.013179441
#> Sepal.Length:Petal.Length                    0.005876684
#> Sepal.Length:Petal.Width                    -0.006412572
#> Sepal.Width:(Intercept)                     -0.003231810
#> Sepal.Width:Speciesversicolor               -0.003984287
#> Sepal.Width:Speciesvirginica                -0.005518284
#> Sepal.Width:Petal.Length                     0.002335906
#> Sepal.Width:Petal.Width                     -0.001991957
#>                                Sepal.Length:Petal.Width Sepal.Width:(Intercept)
#> Sepal.Length:(Intercept)                   0.0028107268             0.006324275
#> Sepal.Length:Speciesversicolor            -0.0109399201             0.004545412
#> Sepal.Length:Speciesvirginica             -0.0213149395             0.007262239
#> Sepal.Length:Petal.Length                 -0.0064125723            -0.003231810
#> Sepal.Length:Petal.Width                   0.0272498285             0.002072658
#> Sepal.Width:(Intercept)                    0.0020726578             0.013117244
#> Sepal.Width:Speciesversicolor             -0.0000394729             0.013714416
#> Sepal.Width:Speciesvirginica              -0.0014004219             0.019456928
#> Sepal.Width:Petal.Length                  -0.0019919567            -0.007453511
#> Sepal.Width:Petal.Width                    0.0049052390             0.003506130
#>                                Sepal.Width:Speciesversicolor
#> Sepal.Length:(Intercept)                        0.0045454124
#> Sepal.Length:Speciesversicolor                  0.0125587855
#> Sepal.Length:Speciesvirginica                   0.0176278866
#> Sepal.Length:Petal.Length                      -0.0039842873
#> Sepal.Length:Petal.Width                       -0.0000394729
#> Sepal.Width:(Intercept)                         0.0137144162
#> Sepal.Width:Speciesversicolor                   0.0349169656
#> Sepal.Width:Speciesvirginica                    0.0472678537
#> Sepal.Width:Petal.Length                       -0.0105186360
#> Sepal.Width:Petal.Width                        -0.0025487274
#>                                Sepal.Width:Speciesvirginica
#> Sepal.Length:(Intercept)                        0.007262239
#> Sepal.Length:Speciesversicolor                  0.017627887
#> Sepal.Length:Speciesvirginica                   0.026715559
#> Sepal.Length:Petal.Length                      -0.005518284
#> Sepal.Length:Petal.Width                       -0.001400422
#> Sepal.Width:(Intercept)                         0.019456928
#> Sepal.Width:Speciesversicolor                   0.047267854
#> Sepal.Width:Speciesvirginica                    0.069056876
#> Sepal.Width:Petal.Length                       -0.013526991
#> Sepal.Width:Petal.Width                        -0.007668001
#>                                Sepal.Width:Petal.Length Sepal.Width:Petal.Width
#> Sepal.Length:(Intercept)                   -0.003231810            0.0020726578
#> Sepal.Length:Speciesversicolor             -0.003984287           -0.0000394729
#> Sepal.Length:Speciesvirginica              -0.005518284           -0.0014004219
#> Sepal.Length:Petal.Length                   0.002335906           -0.0019919567
#> Sepal.Length:Petal.Width                   -0.001991957            0.0049052390
#> Sepal.Width:(Intercept)                    -0.007453511            0.0035061303
#> Sepal.Width:Speciesversicolor              -0.010518636           -0.0025487274
#> Sepal.Width:Speciesvirginica               -0.013526991           -0.0076680010
#> Sepal.Width:Petal.Length                    0.005576498           -0.0042578708
#> Sepal.Width:Petal.Width                    -0.004257871            0.0131707991