R help - Jan 2005 - Omitting constant in ols() from Design

Hi!

I need to run ols regressions with Huber-White sandwich estimators and 
the correponding standard errors, without an intercept. What I'm trying 
to do is create an ols object and then use the robcov() function, on the 
order of:

f <- ols(depvar ~ ind1 + ind2, x=TRUE)
robcov(f)

However, when I go

f <- ols(depvar ~ ind1 + ind2 -1, x=TRUE)

I get the following error:

Error in ols(nareit ~ SnP500 + d3yrtr - 1) :
         length of dimnames [2] not equal to array extent

same with +0 instead of -1.

Is there a different way to create an ols object without a constant? I 
can't use lm(), because robcov() needs an object from the Design() series.

Or is there a different way to go about this?

Tobias Muhlhofer

On Mon, 17 Jan 2005 14:57:33 +0000 Tobias Muhlhofer wrote:
> Hi!
> 
> I need to run ols regressions with Huber-White sandwich estimators and
> the correponding standard errors, without an intercept. What I'm
> trying to do is create an ols object and then use the robcov()
> function, on the order of:
> 
> f <- ols(depvar ~ ind1 + ind2, x=TRUE)
> robcov(f)
> 
> However, when I go
> 
> f <- ols(depvar ~ ind1 + ind2 -1, x=TRUE)
> 
> I get the following error:
> 
> Error in ols(nareit ~ SnP500 + d3yrtr - 1) :
>          length of dimnames [2] not equal to array extent
> 
> same with +0 instead of -1.
> 
> Is there a different way to create an ols object without a constant? I
> can't use lm(), because robcov() needs an object from the Design()
> series.
> 
> Or is there a different way to go about this?
I am not sure if the problem can also be avoided or worked around in
Design, but the functions hccm() from car or vcovHC() from sandwich can
also compute the Huber-White (and other) HC covariance matrix estimates
for fitted "lm" objects.
For computing the corresponding t-tests or z-tests, you can use the
function coeftest() in lmtest. See the corresponding man page for
examples.

Best,
Z
> Tobias Muhlhofer
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
>

Tobias Muhlhofer wrote:
> Hi!
> 
> I need to run ols regressions with Huber-White sandwich estimators and 
> the correponding standard errors, without an intercept. What I'm trying
> to do is create an ols object and then use the robcov() function, on the 
> order of:
> 
> f <- ols(depvar ~ ind1 + ind2, x=TRUE)
> robcov(f)
> 
> However, when I go
> 
> f <- ols(depvar ~ ind1 + ind2 -1, x=TRUE)
> 
> I get the following error:
> 
> Error in ols(nareit ~ SnP500 + d3yrtr - 1) :
>         length of dimnames [2] not equal to array extent
> 
> same with +0 instead of -1.
> 
> Is there a different way to create an ols object without a constant? I 
> can't use lm(), because robcov() needs an object from the Design()
series.
> 
> Or is there a different way to go about this?
> 
> Tobias Muhlhofer
ols does not support this.  Sorry.

-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University