search for: withxtru

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2010 Sep 22
1
Newey West and Singular Matrix
...seems to invoke dqrls . is this the recommended way, or is there a higher-level more stable matrix inversion routine that I could use? help is, as always, appreciated. (also, if you see something else silly in my code, let me know, please.) regards, /iaw se.neweywest <- function( lmobject.withxtrue, ar.terms =0 ) { assert( (class(lmobject.withxtrue)=="lm"), "[se.white] works only on 'lm' objects, not on ", class(lmobject.withxtrue), "objects \n" ) x.na.omitted <- lmobject.withxtrue$x assert( class(x.na.omitted)=="matrix", &quo...
2010 Sep 23
1
Newey West and Singular Matrix + library(sandwich)
...tic bandwidth selection, it does not require setting > ? "x = TRUE", it incorporates other kernel weighting functions, supports > ? prewhitening etc. > > Best, > Z > >> regards, >> >> /iaw >> >> >> se.neweywest <- function( lmobject.withxtrue, ar.terms =0 ) { >> ?assert( (class(lmobject.withxtrue)=="lm"), >> ? ? ? ?"[se.white] works only on 'lm' objects, not on ", >> class(lmobject.withxtrue), "objects \n" ) >> ?x.na.omitted <- lmobject.withxtrue$x >> ?assert( class...