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Computes Conley (1999) spatial HAC variance-covariance matrices for models estimated with lfe::felm() (OLS and IV/2SLS) or with fixest's feols() (OLS and IV), feglm(), and fepois(). For GLM fits the variance is the M-estimation sandwich built from the stored score matrix and inverse Hessian. The spatial meat uses a fast CSR/cumulative-score implementation in C++; see vcovSpHAC.felm and vcovSpHAC.fixest for the per-method argument lists.

Usage

vcovSpHAC(reg, ...)

Arguments

reg

A fitted model object.

...

Method-specific arguments.