[R] lmtest package - Difference between vcov and vcov.

T.Riedle tr206 at kent.ac.uk
Sun Feb 19 14:35:53 CET 2017

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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