ARDL: delta_method – R documentation

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ARDL

delta_method

Delta method

Description

An internal generic function, customized for approximating the standard errors of the estimated multipliers.

Usage

delta_method(object, vcov_matrix = NULL)

## S3 method for class 'ardl'
delta_method(object, vcov_matrix = NULL)

## S3 method for class 'uecm'
delta_method(object, vcov_matrix = NULL)

Arguments

`object`	An object of `class` 'ardl' or 'uecm'.
`vcov_matrix`	The estimated covariance matrix of the random variable that the transformation function uses to estimate the standard errors (and so the t-statistics and p-values) of the multipliers. The default is `vcov(object)` (when `vcov_matrix = NULL`), but other estimations of the covariance matrix of the regression's estimated coefficients can also be used (e.g., using `vcovHC` or `vcovHAC`).

Details

The function invokes two different methods, one for objects of class 'ardl' and one for objects of class 'uecm'. This is because of the different (but equivalent) transformation functions that are used for each class/model ('ardl' and 'uecm') to estimate the multipliers.

Value

delta_method returns a numeric vector of the same length as the number of the independent variables (excluding the fixed ones) in the model.

Author(s)

Kleanthis Natsiopoulos, klnatsio@gmail.com