search for: hac

Hi, I have a simple linear regression for which I want to obtain HAC corrected standard errors, since I have significant serial/auto correlation in my residuals, and also potential heteroskedasticity. Would anyone be able to direct me to the function that implements this in R? It's a basic question and I'm sure I'm missing something obvious here. I look...

Hello, I would like to estimate a VAR model with HAC corrected standard errors. I tried to do this by using the sandwich package, for example: > library(vars) > data(Canada) > myvar = VAR(Canada, p = 2, type = "const") > coeftest(myvar, vcov = vcovHAC) Error in umat - res : non-conformable arrays Which suggests that this fu...

...ar of sale, the attributes of the house, and the attributes of the neighborhood and the city in which the house is located. The data is for a 10-year period. No house is repeated in the dataset. In summary, the dataset can be termed pooled cross-section data. My question: Can I estimate Newey-West HAC standard errors for a model that estimates the effect of various independent variables on the sale price of the house? My understanding is that Newey-West can be used for time series and panel data. However, I am not sure whether it can be used for pooled cross-section data. If yes, can you refer...

If I have a column with 2 levels, but one level has no remaining observations. Can I remove the level? Had intended to do it as listed below, but soon realized that even though there are no observations, the level is still there. For instance summary(dbs3.train.sans.influential.obs$HAC) yields 0 ,1 4685,0 nlevels(dbs3.train.sans.influential.obs$HAC) yields [1] 2 drop.list <- NULL for (i in 1:ncol(dbs3.train.sans.influential.obs)) { if (nlevels(dbs3.train.sans.influential.obs[,i]) < 2) {drop.list <- cbind(drop.list,i)}} yields nothing because HAC sti...

# Using Moving/Rolling Windows, here we do an OLS Regression with corrections for #Heteroscedasticity and Autocorrelations (HAC) using Newey West Method. This code is a #extension of Ajay Shah?s code for moving windows simple OLS regression. # The easiest way to adjust for Autocorrelations and Heteroscedasticity in the OLS residuals is to #use the coeftest function that is included in the ?lmtest? packages. # The ?lmtest?...

Hi there, is it possible in r to use the Initial partition established by using the HAC partition with the kmean clustering? E.g. perform the HCA, write the cluster affiliation in a seperate column > DF$hclus.label <- assignCluster(model.matrix(~-1 + A15 + B12 + C70 + E14 + + H61 + N56 + P48 + T69 + W32 + Y43, DF), DF, cutree(HClust.1, k = 3) -> use this as initial parti...

Dear all, I am looking for an equivalent to the "newey2"-extension in Stata, in order to compute Newey-West HAC standard errors in a regression using panel data. I would be very grateful for advice which R-package could do this. I thank you very much in advance. Dirius

Dear everyone: I am doing a research on several stock markets. And I need to construct an Bartlett HAC covariance matrix estimator for Sigma(Cov(Y0,Yj)), j is from 0 to T. Can you tell me how to do it. Your Sincerely! Nigel Gregory 01/09/11 [[alternative HTML version deleted]]

Hi, Does anyone read Verbeek's "A Guide to Modern Econometrics"? In its Section 4.11, how does the last two equations' HAC calculate? I've tried several groups of parameters in sandwich::NeweyWest, but I still cannot get the same result. I've tried lag=2 and lag=3, as long as prewhite=FALSE and prewhite=TRUE yet, but... Sincerely Hsiao-nan Cheung

Hi all, Does anyone know how to report heteroskedasticity and autocorrelation-consistent standard errors when using the "spm" command in SemiPar package? Suppose the original command is sp1<-spm(y~x1+x2+f(x3), random=~1,group=id) Any suggestion would be greatly appreciated. Thanks, Susan [[alternative HTML version deleted]]

Hi, A pre-release version of backgroundrb is available now from svn. Download it from here: http://svn.devjavu.com/backgroundrb/branches/version099/ Since this release marks significant migration from existing practices, i intend to keep trunk untouched for a while. There are no install scripts, but you should copy "backgroundrb" file from script directory of plugin to script

...e same results (point estimates, standard errors and anything else that I can see (**except** for the value of the $J$-test) regardless of the weighting matrix. I do not think this is correct. The phenomenon persists regardless of what type of covariance matrix estimator I use: `MDS`, `CondHom` or `HAC`. It also persists regardless of whether I use unrestricted estimation or restrict the coefficients on one of the variables (the common regressor) to be equal across equations. **Question:** Why does system GMM via `gmm::sysGmm` yield identical results for any weighting matrix? How can I make it y...

...larity,Relative Margin,Variance Ratio. based on my some time of Research,I have in mind a clustering algorithm that can overcome Quality issues of K-means(and its variants) and Speed Issues of Hierarchical Agglomerative Clustering. Theoretically it can work O(n) and Can produce results better than HAC based on various metrics. I can't discuss it on mailing-list but you say we can discuss more about it and its implementation in xapian in PM. Thank you for your Time Regards, Nirmal Singhania B.tech III Yr -------------- next part -------------- An HTML attachment was scrubbed... URL: &l...

...t estimates, standard errors and > anything else that I can see (**except** for the value of the $J$-test) > regardless of the weighting matrix. I do not think this is correct. > The phenomenon persists regardless of what type of covariance matrix > estimator I use: `MDS`, `CondHom` or `HAC`. > It also persists regardless of whether I use unrestricted estimation or > restrict the coefficients on one of the variables (the common regressor) to > be equal across equations. > > **Question:** Why does system GMM via `gmm::sysGmm` yield identical results > for any weightin...

Dear useRs, here is the announcement for the next "new" package: sandwich 0.1-3. sandwich provides heteroskedasticity (and autocorrelation) consistent covariance matrix estimators (also called HC and HAC estimators). The former are implemented in the function vcovHC() (which was available in strucchange before - and independently in hccm() in John Fox's car package). And the latter are implemented in the function vcovHAC(). This implements sandwich-type estimators in a rather flexible way,...

Dear useRs, here is the announcement for the next "new" package: sandwich 0.1-3. sandwich provides heteroskedasticity (and autocorrelation) consistent covariance matrix estimators (also called HC and HAC estimators). The former are implemented in the function vcovHC() (which was available in strucchange before - and independently in hccm() in John Fox's car package). And the latter are implemented in the function vcovHAC(). This implements sandwich-type estimators in a rather flexible way,...

...using R 2.11.0 on a Ubuntu machine. I estimated a model using "tsls" from the package "sem". Is there a way to get Newey West standard errors for the parameter estimates? When estimating the model by OLS, I used "NeweyWest" from the package "sandwich" to get HAC standard errors. But, I am not able to use the same method with the results of the "tsls" estimation. Any help would be appreciated. Deepankar [[alternative HTML version deleted]]

...rie esté centrada en este caso, ya que estoy sumando un ruído blanco Un saludo From: fjroar en hotmail.com To: caaperezan en gmail.com; r-help-es en r-project.org Date: Wed, 5 Nov 2014 13:00:49 +0000 Subject: Re: [R-es] Agregar ruido a una serie de tiempo Hola buenos d?as: Yo cuando he tenido que hacer estos trabajos, lo que hac?a era coger la serie temporal como un vector y constru?a un vector aleatorio de igual longitud con una distribuci?n dada, por ejemplo generando n?meros seg?n una normal 0, sigma (si la serie est? centrada en 0) y la sumaba directamente Te remito un ejemplo trivial para...

...arious other weighting scheme which are there in xapian or can be implemented like TF-ICF(term frequecy inverse corpus frequency),TF-RF(term frequency-relevance frequency) for evaluating the speed and accuracy of final clustering system we can benchmark it against various other algos like k-means,HAC based on the measures mentioned in previous mail.(purity,F-measure,Entropy,F-Measure,Overall Similarity,Relative Margin,Variance Ratio) Please give your suggestions Have a Nice day Regards, Nirmal Singhania B.tech III Yr On Thu, Mar 10, 2016 at 5:46 PM, James Aylett <james-xapian at tartaru...

...tions. See a reproducible example below. The fitting routine yields the following error: "Error in solve.default(w, t(hm)) : system is computationally singular: reciprocal condition number = 3.35459e-19" This happens only for certain types of the covariance matrix estimator: `MDS` and `HAC`. It does not happen for `CondHom`. Also, I am able to estimate the model without a problem using restricted OLS estimation via `systemfit::systemfit` (code not provided). I think the latter estimator is algebraically the same as `gmm::sysGmm` with identity weighting matrix and the `CondHom` option...