search for: prewhit

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]]

...t; > My name is Pedro and it is nice to meet you all. I am having trouble > > understanding a message that I receive when use function ar.ols from > > package stats, it says that "Warning message: > > In ar.ols(x = dtb[2:6966, ], demean = FALSE, intercept = TRUE, > > prewhite = TRUE) : > > model order: 2 singularities in the computation of the projection > > matrix results are only valid up to model order 1, which I do not know > > what it means, if someone could clarify it, I would really appreciate > > it. > > > > Attached to t...

Hello, My name is Pedro and it is nice to meet you all. I am having trouble understanding a message that I receive when use function ar.ols from package stats, it says that "Warning message: In ar.ols(x = dtb[2:6966, ], demean = FALSE, intercept = TRUE, prewhite = TRUE) : model order: 2 singularities in the computation of the projection matrix results are only valid up to model order 1, which I do not know what it means, if someone could clarify it, I would really appreciate it. Attached to this email you will find my code and data I used to run this...

...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

...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=4) lines(confint(bp.ri, breaks = 3, vcov=vcov.ri))...

...veu: > Hello, > > My name is Pedro and it is nice to meet you all. I am having trouble > understanding a message that I receive when use function ar.ols from > package stats, it says that "Warning message: > In ar.ols(x = dtb[2:6966, ], demean = FALSE, intercept = TRUE, > prewhite = TRUE) : > model order: 2 singularities in the computation of the projection > matrix results are only valid up to model order 1, which I do not know > what it means, if someone could clarify it, I would really appreciate > it. > > Attached to this email you will find my co...

...t; > My name is Pedro and it is nice to meet you all. I am having trouble > > understanding a message that I receive when use function ar.ols from > > package stats, it says that "Warning message: > > In ar.ols(x = dtb[2:6966, ], demean = FALSE, intercept = TRUE, > > prewhite = TRUE) : > > model order: 2 singularities in the computation of the > > projection matrix results are only valid up to model order 1, which > > I do not know what it means, if someone could clarify it, I would > > really appreciate it. > > > > Attached to t...

thank you, achim. I will try chol2inv. sandwich is a very nice package, but let me make some short suggestions. I am not a good econometrician, so I do not know what prewhitening is, and the vignette did not explain it. "?coeftest" did not work after I loaded the library. automatic bandwidth selection can be a good thing, but is not always. as to my own little function, I like the idea of specifying my choice of overlapping periods. for me, the need often...

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

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.na.omitted, x.na.omitted)) : system is

I have data that looks like this: > df1 group id 1 red A 2 red B 3 red C 4 blue D 5 blue E 6 blue F I want a list of the groups containing vectors with the ids. I am avoiding subset(), as it is only recommended for interactive use. Here's what I have so far: df1 <- data.frame(group=c("red", "red", "red", "blue",