search for: newey

Dear R-users, has anybody combined the glm function with the Newey-West estimator of variance, similar as in Stata 7.0? I'd like to estimate corrected standard errors within a logistic regression model, taking into account the auto-correlated binary observations within individuals. I use R1.5.1 on Mac OS X (10.2). Thanks, Christof -.-.-.-.-.-.-.-.-.-.-.-....

...rter and year 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...

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 2.03...

Is anyone aware of a procedure to apply Newey-West corrections for autocorrelation to a SUR regression model? The SANDWICH package seems to be applicable only to LM or GLM models. Thanks, Richard Saba Department of Economics Auburn University Email: sabaric at auburn.edu

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

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

dear R experts: ?I am writing my own little newey-west standard error function, with heteroskedasticity and arbitrary x period autocorrelation corrections. ?including my function in this post here may help others searching for something similar. it is working quite well, except on occasion, it complains that Error in solve.default(crossprod(x....

Dear all, I am working on a large dataset and need to use biglm() to perform OLS regressions. I have detected significant ARCH effects which I try to account for using the Newey-West correction. So far, I have worked with NeweyWest() in the sandwich package. NeweyWest() however seems to be unable to handle an object of class "biglm". Looking into the code, I figured out that NeweyWest() calls i) bwNeweyWest() and ii) vcovHAC(), and that both of these functions...

...rt <- function( cond, ... ) { if (!cond) cat(..., file=stderr()); stopifnot(cond) } thanks again. /iaw On Wed, Sep 22, 2010 at 7:41 PM, Achim Zeileis <Achim.Zeileis at uibk.ac.at> wrote: > On Wed, 22 Sep 2010, ivo welch wrote: > >> dear R experts: ?I am writing my own little newey-west standard error >> function, with heteroskedasticity and arbitrary x period >> autocorrelation corrections. ?including my function in this post here >> may help others searching for something similar. ?it is working quite >> well, except on occasion, it complains that &g...

I want to calculate Newey West robust standard error using NeweyWest. Comparing the results to what I get in STATA, in order to get the same results in I need to specify "prewhite=0". Can someone explain what this prewhite command means? Thanks [[alternative HTML version deleted]]

Dear R-users, I would like to compute a robust covariance 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 covarian...

Hi, I have two sets of data that I would like to put into a data frame. But since they have different length, I am not sure how to do this. Here is an example of my data: data set one: date growth 1/1/2007 10 1/2/2007 10.2 1/3/2007 10.4 1/4/2007 10.6 data set two: date growth 1/1/2007 22 1/2/2007 22.5 1/4/2007 22.4 I would like to combine the two data sets and

...cross-sectional correlation", of which serial correlation is a special case (lagged correlation of u_is with u_jt for i=j). >From Driscoll and Kraay's simulations, you need T>20-25 at a minimum but N can be arbitrarily large. The bandwidth of the smoother is your choice, just as in Newey-West, defaults to a reasonable value etc. etc., please see ?vcovSCC. A nice explanation (in a Stata context) in Hoechle (2007) on the Stata journal, also here: http://fmwww.bc.edu/repec/bocode/x/xtscc_paper.pdf I still believe my home-made panel-Newey-West from yesterday would work, but you can us...

I want to run a GEE for a time series of counts. The data are daily respiratory mortality counts and so there aren't any 'clusters' in the longitudinal sense. Neither the gee or geese packages work. The gee one wont run at all and the geese one produces NaNs or just runs indefinitely depending on how long the time series is. Any ideas how to make these work of any other packages that

Hi All, I am 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 appre...

...n procedure for a time series count model that is based on a Poisson-Normal mixture. - Something more or less similar is discussed by Davis et al (Biometrika 2000, p491-505) And he to consider "sandwich estimators" (or similar) for longitudinal data. He wrote "Some of these (eg the Newey-West estimator) have been used in econometrics for a long time. Although they are most often used for continuous response variables they work perfectly well for counts. Stata 7.0 does the Newey-West estimator for generalised linear models, which may be what you had heard about. These and related...

...T5")]) d&lt;-ts.union(dep,indep.ret1,indep.ret2,indep.ret3,indep.ret4,indep.ret5,dep.lag1=lag(dep,-1),dep.lag2=lag(dep,-2),dep.lag3=lag(dep,-3)) fit1 &lt;- lm(dep~indep.ret1+indep.ret2+indep.ret3+indep.ret4+indep.ret5+dep.lag1+dep.lag2+dep.lag3,data=d) summary(fit1) #coeftest(fit1,vcov=NeweyWest) 2) using armaFit: fit2&lt;-armaFit(dep~ar(3),xreg=ts(data.df[selection,c("RET1","RET2","RET3","RET4","RET5")]),data=ts(data.df[selection,-1])) summary(fit2) The results of 1) and 2) are completely different. Does anybody have an explanati...

# 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? package incl...

Hi, I think he's talking about how much a statistical estimator is influenced by extreme datapoints, e.g. https://en.m.wikipedia.org/wiki/Robust_statistics#Breakdown_point Olivier -- Olivier Crouzet Assistant Professor @LLING UMR6310 - Universit? de Nantes / CNRS Guest Scientist @UMCG - University Medical Center Groningen / RijksUniversiteit Groningen > Le 19 avr. 2018 ? 11:00,

Dear list, following a previous querry we are still stuck! As pointed out by Erin Hodges the "ts" library includes a PACF function which reports the partial correlation of population density at time t against lagged population density. However, what we are trying to calculate is the partial correlation between rate of population change, Rt=log Nt/Nt-1, against lagged population