On Mon, 10 May 2010, RATIARISON Eric wrote:
Hi,
I'm using maxlik with functions specified (L, his gradient & hessian).
Now I would like determine some robust standard errors of my estimators.
So I 'm try to use vcovHC, or hccm or robcov for example
but in use one of them with my result of maxlik, I've a the following
error message :
Erreur dans terms.default(object) : no terms component
Is there some attributes to give to maxlik objet for "fitting" the call
of vcovHC?
This is discussed in
vignette("sandwich-OOP", package = "sandwich")
one of the vignettes accompanying the "sandwich" package that provides the
vcovHC() function. At the very least, you need an estfun() method which
extracts the gradient contributions per observation. Then you need a
bread() function, typically based on the observed Hessian. Then you can
compute the basic sandwich() estimators.
Best,
Z
Thank you
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