Message-ID: <1487511353457.30683@kent.ac.uk>
Date: 2017-02-19T13:35:53Z
From: T.Riedle
Subject: lmtest package - Difference between vcov and vcov.
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().
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. 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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