Hi, I want to calculate the t- and p-values for a linear model using the Newey West estimator. I tried this Code and it usually worked just fine:> oberlm <- lm(DYH ~ BIP + Infl + EOil, data=HU_H) > coeftest(oberlm, NeweyWest(oberlm, lag=2))t test of coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.1509950 0.0743832 2.0300 0.179486 BIP -5.5131683 1.2536813 -4.3976 0.048016 * Infl -0.0623530 0.0036215 -17.2175 0.003356 ** EOil 8.6762170 0.0853216 101.6884 9.67e-05 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 But then I got an error and I don't understand what it means or even why it occurs now:> oberlm <- lm(DYI ~ BIP + BrInv_bw + EOil, data=HU_I) > coeftest(oberlm, NeweyWest(oberlm, lag=2))Fehler in if ((dimension < 1) | (dimension > n)) stop("wrong embedding dimension") : Argument hat Länge 0 Zusätzlich: Warning message: In log(det(varE[[m - order.min + 1]])) : NaNs wurden erzeugt Can anyone understand there the problem is? Best, Marina [[alternative HTML version deleted]]
> Hi, > > I want to calculate the t- and p-values for a linear model using the Newey West estimator. > I tried this Code and it usually worked just fine: > > > oberlm <- lm(DYH ~ BIP + Infl + EOil, data=HU_H) > > coeftest(oberlm, NeweyWest(oberlm, lag=2)) > > t test of coefficients: > > Estimate Std. Error t value Pr(>|t|) > (Intercept) 0.1509950 0.0743832 2.0300 0.179486 > BIP -5.5131683 1.2536813 -4.3976 0.048016 * > Infl -0.0623530 0.0036215 -17.2175 0.003356 ** > EOil 8.6762170 0.0853216 101.6884 9.67e-05 *** > --- > Signif. codes: 0 > '> ***> '> 0.001 > '> **> '> 0.01 > '> *> '> 0.05 > '> .> '> 0.1 > '> > '> 1 > > > > But then I got an error and I don't understand what it means or even why it occurs now: > > > oberlm <- lm(DYI ~ BIP + BrInv_bw + EOil, data=HU_I) > > coeftest(oberlm, NeweyWest(oberlm, lag=2)) > Fehler in if ((dimension < 1) | (dimension > n)) stop("wrong embedding dimension") : > Argument hat Länge 0 > Zusätzlich: Warning message: > In log(det(varE[[m - order.min + 1]])) : NaNs wurden erzeugt > > Can anyone understand there the problem is? > > Best, > Marina[[alternative HTML version deleted]]
Hi, As I didn't get a response last week, I try it again. I want to calculate the t- and p-values for a linear model using the Newey West estimator. I tried this Code and it usually worked just fine:> oberlm <- lm(DYH ~ BIP + Infl + EOil, data=HU_H) > coeftest(oberlm, NeweyWest(oberlm, lag=2))t test of coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 0.1509950 0.0743832 2.0300 0.179486 BIP -5.5131683 1.2536813 -4.3976 0.048016 * Infl -0.0623530 0.0036215 -17.2175 0.003356 ** EOil 8.6762170 0.0853216 101.6884 9.67e-05 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 But then I got an error and I don't understand what it means or even why it occurs now:> oberlm <- lm(DYI ~ BIP + BrInv_bw + EOil, data=HU_I) > coeftest(oberlm, NeweyWest(oberlm, lag=2))Fehler in if ((dimension < 1) | (dimension > n)) stop("wrong embedding dimension") : Argument hat Länge 0 Zusätzlich: Warning message: In log(det(varE[[m - order.min + 1]])) : NaNs wurden erzeugt Can anyone understand there the problem is? Best, Marina [[alternative HTML version deleted]]