search for: kernhac

...variance matrix of two series of realizations of random variables: ###Begin Example### data <- cbind(rnorm(100), rnorm(100)) model <- lm(data ~ 1) vcov(model) library(sandwich) NeweyWest(model) #produces an error ###End Example### NeweyWest() produces an error but sandwich(), vcovHAC(), kernHAC, weave(),... do not produce any errors. It seems that the model object does not fit in that special case. Nevertheless, the problem is that I need the robust version of the covariance matrix according to Newey and West (1987, 1994). Any ideas or suggestions to solve the problem? Kind regards, A...

...nux and, if so, is there a workaround? Many thanks! require(strucchange) data("RealInt") bp.ri <- breakpoints(RealInt~1, h=15) summary(bp.ri) fac.ri <- breakfactor(bp.ri, breaks = 3, label='seg') fm.ri <- lm(RealInt~0 + fac.ri) summary(fm.ri) vcov.ri <- function(x,...) kernHAC (x, kernel = 'Quadratic Spectral', prewhite = 1, approx = 'AR(1)', ...) coef(bp.ri, breaks <- 3) sapply(vcov(bp.ri, breaks = 3, vcov=vcov.ri), sqrt) confint(bp.ri, breaks = 3, vcov=vcov.ri) png('SCC2.png') plot(RealInt) lines(as.vector(time(RealInt)), fitted(fm.ri), col=...

...cular it makes available the class of WEAVE estimators introduced by Lumley & Heagerty (1999) in the function weave() which is a convenience interface to vcovHAC(). Furthermore, it implements the class of kernel HAC estimators with automatic bandwidth-selection of Andrews (1991) in the function kernHAC(), which is again a convenience interface to vcovHAC(). Best wishes, Z ----------------- Package: sandwich Version: 0.1-3 Date: 2004-07-19 Title: Robust Covariance Matrix Estimators Author: Thomas Lumley, Achim Zeileis Maintainer: Achim Zeileis <Achim.Zeileis at wu-wien.ac.at> Description:...

hello R-world, according to the strucchange package .pdf, "all procedures in this package are concerned with testing or assessing deviations from stability in the classical linear regression model." i'd like to test/assess deviations from stability in the Poisson model. is there a way to modify the strucchange package to suit my purposes, or should i use be using another

...cular it makes available the class of WEAVE estimators introduced by Lumley & Heagerty (1999) in the function weave() which is a convenience interface to vcovHAC(). Furthermore, it implements the class of kernel HAC estimators with automatic bandwidth-selection of Andrews (1991) in the function kernHAC(), which is again a convenience interface to vcovHAC(). Best wishes, Z ----------------- Package: sandwich Version: 0.1-3 Date: 2004-07-19 Title: Robust Covariance Matrix Estimators Author: Thomas Lumley, Achim Zeileis Maintainer: Achim Zeileis <Achim.Zeileis at wu-wien.ac.at> Description:...

Preface: this is a statistical question more than an R question. I have a vector of numbers (assume a regular time series). Within this time series, I have a set of regions of interest (all of different lengths) that I want to compare against a "baseline" (which is known). There is some autocorrelation involved. I would like to determine the "significance" of the

Hi, I would like to estimate a panel model (small N large T, fixed effects), but would need "robust" standard errors for that. In particular, I am worried about potential serial correlation for a given individual (not so much about correlation in the cross section). >From the documentation, it looks as if the vcovHC that comes with plm does not seem to do autocorrelation, and the

...inciple, everything in "sandwich" is object-oriented now, see vignette("sandwich-OOP", package = "sandwich") However, the methods within "sandwich" are only sensible for cross-sectional data (vcovHC, sandwich, ...) or time series data (vcovHAC, NeweyWest, kernHAC, ...). There is not yet explicit support for panel data. hth, Z > How can I estimate the model and get robust standard errors? > > Thanks for your help. > > Max > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz...

...ciple, everything in "sandwich" is object-oriented now, see vignette("sandwich-OOP", package = "sandwich") However, the methods within "sandwich" are only sensible for cross-sectional data (vcovHC, sandwich, ...) or time series data (vcovHAC, NeweyWest, kernHAC, ...). There is not yet explicit support for panel data. hth, Z > How can I estimate the model and get robust standard errors? > > Thanks for your help. > > Max > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.eth...