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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