Extract the parameter covariance matrix of a KK model
Usage
# S3 method for class 'kk_model'
vcov(object, ...)See also
Other revision nowcasting:
coef.jvn_model(),
coef.kk_model(),
fitted.jvn_model(),
fitted.kk_model(),
jvn_nowcast(),
kk_nowcast(),
logLik.jvn_model(),
logLik.kk_model(),
nobs.jvn_model(),
nobs.kk_model(),
plot.jvn_model(),
plot.kk_model(),
predict.jvn_model(),
predict.kk_model(),
print.jvn_model(),
print.kk_model(),
residuals.jvn_model(),
residuals.kk_model(),
states(),
summary.jvn_model(),
summary.kk_model(),
vcov.jvn_model()
Examples
df <- get_nth_release(
tsbox::ts_span(
tsbox::ts_pc(dplyr::filter(reviser::gdp, id == "US")),
start = "1980-01-01"
),
n = 0:1
)
df <- na.omit(dplyr::select(df, -c("id", "pub_date")))
fit <- kk_nowcast(df, e = 1, model = "KK", method = "MLE")
vcov(fit)
#> F0 G0_0 G0_1 v0 eps0
#> F0 5.361759e-03 -1.035662e-06 -8.186818e-06 -8.711730e-05 3.819624e-07
#> G0_0 -1.035662e-06 -2.265219e-06 1.153701e-06 3.032068e-08 3.924083e-08
#> G0_1 -8.186818e-06 1.153701e-06 5.735712e-03 -1.619414e-06 -1.613451e-08
#> v0 -8.711730e-05 3.032068e-08 -1.619414e-06 2.918697e-02 -5.520300e-09
#> eps0 3.819624e-07 3.924083e-08 -1.613451e-08 -5.520300e-09 5.058073e-07