Covariance matrix of an ordered / inflated ordered fit
Arguments
- object
An
"iord"object.- scale
"natural"(default) returns the covariance of the reported coefficients (outcome coefficients, cutpoints, inflation coefficients,rho);"internal"returns the covariance on the optimizer's scale (cutpoint increments,atanh(rho)), which the delta-method quantities of interest use.- ...
Unused.
See also
confint.iord(), summary.iord(), the se and cluster
arguments of oprobit() and iop().
Other inference methods:
confint.iord(),
summary.iord()
Examples
set.seed(1)
d <- riop(500, beta = c(0.8, -0.5), tau = c(-0.6, 0.7), gamma = c(0.3, 1), inflate = "bottom")
m <- iop(y ~ x1 + x2 | z1, d, inflate = "bottom")
round(sqrt(diag(vcov(m))), 3) # standard errors on the natural scale
#> x1 x2 0|1 1|2
#> 0.100 0.088 0.156 0.095
#> infl_(Intercept) infl_z1
#> 0.127 0.126
colnames(vcov(m, scale = "internal")) # the optimizer's parameterization
#> [1] "x1" "x2" "0|1" "1|2"
#> [5] "infl_(Intercept)" "infl_z1"
m_cl <- iop(y ~ x1 + x2 | z1, d, inflate = "bottom", se = "robust")
round(sqrt(diag(vcov(m_cl))), 3) # sandwich standard errors
#> x1 x2 0|1 1|2
#> 0.090 0.094 0.145 0.099
#> infl_(Intercept) infl_z1
#> 0.124 0.128