A single entry point over the native HC / HAC / CL estimators,
mirroring the type vocabulary used by
morie_causal_robust_se().
Usage
morie_vcov_robust(model, type = "HC3", cluster = NULL, ...)
Arguments
- model
A fitted lm / glm.
- type
"HC0"-"HC5", "HC4m",
"const", "HAC", or "CL".
- cluster
Cluster vector (required for "CL").
- ...
Passed to the underlying estimator (e.g. lag).
Value
The coefficient covariance matrix.
Examples
set.seed(1)
df <- data.frame(y = rnorm(60), x = rnorm(60),
cl = rep(1:6, each = 10))
fit <- stats::lm(y ~ x, data = df)
morie_vcov_robust(fit)
#> (Intercept) x
#> (Intercept) 0.014406146 -0.007860219
#> x -0.007860219 0.018845371
