R help - Sep 2011 - Exception in NeweyWest - Pre-Whitening necessary?

Hi guyz,

I have run my algorithm in R (see http://pastebin.com/q84Tujfg) and got the
following error:

Error in ar.ols(x, aic = aic, order.max = order.max, na.action = na.action,  :
  'order.max' must be < 'n.used'

I am pretty sure, that the error comes from the NeweyWest function in line 45,
as the NeweyWest function uses the ar.ols() function for pre whitening. Does
anyone has an idea how to circumvent this? Can I just shut off pre whitening?

I am thankful for every suggestion. 

Simon


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On Fri, 9 Sep 2011, Simon Zehnder wrote:
> Hi guyz,
>
> I have run my algorithm in R (see http://pastebin.com/q84Tujfg) and got 
> the following error:
This is not reproducible. There is only the script but no information 
about how it is called. Also, within your script you call 
NeweyWest(regression) -- however, "regression" is not defined within
the
script!
> Error in ar.ols(x, aic = aic, order.max = order.max, na.action = na.action,
:
>  'order.max' must be < 'n.used'
NeweyWest call ar() essentially with order.max = as.integer(prewhite) 
which defaults to 1. Thus, the error must be caused by a model with
n.used <= 1 which suggests that it is not a very sensible model to start 
with.
> I am pretty sure, that the error comes from the NeweyWest function in 
> line 45, as the NeweyWest function uses the ar.ols() function for pre 
> whitening. Does anyone has an idea how to circumvent this? Can I just 
> shut off pre whitening?
Why don't you read the documentation in ?NeweyWest or in 
vignette("sandwich", package = "sandwich")?
Z
> I am thankful for every suggestion.
>
> Simon
>
>
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>
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