Displaying 20 results from an estimated 700 matches similar to: "Robust SE & Heteroskedasticity-consistent estimation"
2010 May 14
1
Creating an S3 method when the generic function is defined in another (imported) package
Hi,
In one of my packages (maxLik), I would like to add an S3 method,
where the generic function (estfun) is defined in another package
(sandwich). Everything works fine if my package "Depends" on the other
package and I import the generic function "estfun" from the "sandwich"
package and define the new method in the NAMESPACE file. However, I
prefer not to load the
2009 May 16
1
maxLik pakage
Hi all;
I recently have been used 'maxLik' function for maximizing G2StNV178 function with gradient function gradlik; for receiving this goal, I write the following program; but I have been seen an error in calling gradient function;
The maxLik function can't enter gradlik function (definition of gradient function); I guess my mistake is in line ******** ,that the vector ‘h’ is
2011 Sep 19
1
"could not find function" after import
I am trying to build a package (GWASTools, submitted to Bioconductor)
that uses the "sandwich" package. I have references to "sandwich" in
DESCRIPTION:
Imports: methods, DBI, RSQLite, sandwich, survival, DNAcopy
and NAMESPACE:
import(sandwich)
In the code itself is a call to vcovHC:
Vhat <- vcovHC(mod, type="HC0")
I have sandwich version 2.2-7 installed.
2007 Feb 19
1
Urgent: How to obtain the Consistent Standard Errors after apply 2SLS through tsls() from sem or systemfit("2SLS") without this error message !!!!!!!!!!!!!
Hi,
I am trying to obtain the heteroskedasticity consitent standard errors
(HCSE) after apply 2SLS. I obtain 2SLS through tsls from package sem or
systemfit:
#### tsls ####
library (sem)
Reg2SLS <-tsls(LnP~Sc+Ag+Ag2+Var+R+D,~I2+Ag+Ag2+Var+R+D)
summary (Reg2SLS)
#### systemfit ####
library (systemfit)
RS <- LnP~Sc+Ag+Ag2+Var+R+D
Inst <- ~I2+Ag+Ag2+Var+R+D
labels
2013 Mar 30
1
vcovHC and arima() output
Dear all,
how can I use vcovHC() to get robust/corrected standard errors from an
arima() output?
I ran an arima model with AR(1) and got the estimate, se, zvalue and
p-value using coeftest(arima.output).
However, I cannot use vcovHC(arima.output) to get corrected standard
errors. It seems vcovHC works only with lm and plm objects?
Is there another way I can get robust/corrected
2013 Apr 05
1
white heteroskedasticity standard errors NLS
Hello
Is there any function to calculate White's standard errors in R in an NLS
regression.
The sandwich and car package do it but they need an lm object to calculate
the error's.
Does anyone have idea how to do it for an NLS object ?
Regards
The woods are lovely, dark and deep
But I have promises to keep
And miles before I go to sleep
And miles before I go to sleep
-----
[[alternative
2010 Sep 14
2
Can I monitor the iterative/convergence process while using Optim or MaxLik?
Hi R-helpers,
Is it possible that I have the estimates from each step/iteration shown on
the computer screen in order to monitor the process while I am using Optim
or MaxLik?
Thanks for your help.
Maomao
[[alternative HTML version deleted]]
2009 Jul 12
2
Heckman Selection MOdel Help in R
Hi Saurav!
On Sun, Jul 12, 2009 at 6:06 PM, Pathak,
Saurav<s.pathak08 at imperial.ac.uk> wrote:
> I am new to R, I have to do a 2 step Heckman model, my selection equation is
> below which I was successful in running but I am unable to proceed further,
>
>
>
> I have so far used the following command
>
> glm(formula = s ~ age + gender + gemedu + gemhinc + es_gdppc +
2020 Oct 08
0
[External] Re: unable to access index for repository...
Oh Hi Arne,
You may recall we visited with this before. I do not believe the problem is algorithm specific. The algorithms I use the most often are BFGS and BHHH (or maxBFGS and maxBHHH). For simple econometric models such as probit, Tobit, and evening sample selection models, old and new versions of R work equally well (I write my own programs and do not use ones from AER or sampleSekection).
2020 Oct 08
2
[External] Re: unable to access index for repository...
Hi Steven
Which optimisation algorithms in maxLik work better under R-3.0.3 than
under the current version of R?
/Arne
On Thu, 8 Oct 2020 at 21:05, Steven Yen <styen at ntu.edu.tw> wrote:
>
> Hmm. You raised an interesting point. Actually I am not having problems with aod per se?-it is just a supporting package I need while using old R. The essential package I need, maxLik, simply
2010 Aug 28
1
maxNR in maxLik package never stops
Greetings,
I use maxNR function under maxLik package to find the REML estimates of the parameters of variance components in heteroskedastic linear regression models. I assume that in the model there is additive/multiplicative/mixed heteroskedasticity and I need estimate the respective parameters of additive/multiplicative/mixed variance components.
For my research purposes I make a
2020 Oct 08
0
[External] Re: unable to access index for repository...
Hmm. You raised an interesting point. Actually I am not having problems with aod per se?-it is just a supporting package I need while using old R. The essential package I need, maxLik, simply works better under R-3.0.3, for reason I do not understand?specifically the numerical gradients of the likelihood function are not evaluated as accurately in newer versions of R in my experience, which is why
2009 Mar 02
1
initial gradient and vmmin not finite
Dear Rhelpers
I have the problem with initial values, could you please tell me how to solve it?
Thank you
June
> p = summary(maxLik(fr,start=c(0,0,0,1,0,-25,-0.2)))
Error in maxRoutine(fn = logLik, grad = grad, hess = hess, start = start, :
NA in the initial gradient
> p = summary(maxLik(fr,start=c(0,0,0,1,0,-25,-0.2),method="BFGS"))
Error in optim(start, func, gr =
2020 Oct 09
1
[External] Re: unable to access index for repository...
>>>>> Steven Yen
>>>>> on Fri, 9 Oct 2020 05:39:48 +0800 writes:
> Oh Hi Arne, You may recall we visited with this before. I
> do not believe the problem is algorithm specific. The
> algorithms I use the most often are BFGS and BHHH (or
> maxBFGS and maxBHHH). For simple econometric models such
> as probit, Tobit, and evening
2010 Mar 12
2
Question regarding to maxNR
Hi R-users,
Recently, I use maxNR function to find maximizer. I have error appears as follows
Error in maxNRCompute(fn = fn, grad = grad, hess = hess, start = start, :
NA in the initial gradient
My code is
mu=2
s=1
n=300
library(maxLik)
set.seed(1004)
x<-rcauchy(n,mu,s)
loglik<-function(mu)
{
log(prod(dcauchy(x,mu,s)))
}
maxNR(loglik,start=median(x))$estimate
Does anyone know how
2011 Feb 07
2
fast optimization routines in R
Dear R help archive group,
I am looking for a maximization routine that I can use to maximize a large
variety of relatively complex likelihoods. I undertand (from previous posts)
that coding the objective function more efficiently can help. However, the
optimization routine employed seems important too. So far, I have tried the
optimization routines optim, maxlik, trust and nlminb. The latter two
2010 Mar 22
1
maxNR - Error in p(a, b) : element 1 is empty; the part of the args list of '*' being evaluated was: (b, t)
Hello everyone...
We were trying to implement the Newton-Raphson method in R, and estimate the
parameters a and b, of a function, F, however we can't seem to implement
this the right way. Hope you can show me the right way to do this. I think
what we want R to do is to read the data from the website and then peform
maxNR on the function, F. Btw the version of R being used is "RGui for
2011 Oct 06
1
sum of functions
Dear all,
I would like to create a code for semiparametric Klein and Spady's
estimator. For that I created a function that provides the log-likelihood
function for each observation (so it is a function of betas and i, where i
denotes the observation). Now, in order to maximize the log-likelihood
function, I have to sum these log-likelihood functions for each i and so to
get another function
2007 Oct 30
2
Splitting up the micEcon package?
Dear R Users:
The functions of our "micEcon" package [1,2] can be subdivided into three
categories:
- microeconomic demand and firm models
- sample selection models (mainly selection())
- routines for (likelihood) maximisation (e.g. maxLik(), maxNR(), maxBHHH())
(mainly used for ML estimation of sample selection models)
Although sample selection models are often used in
2007 Oct 08
2
estfun & df
Hello EVERYONE,
I need an URGENT help from you please!
How can I see the "estfun" (empirical estimating function) and "df" (degree of freedom) from the following mixed-model please?
(fm1 <- lmer2(Reaction ~ Days + (Days|Subject), sleepstudy))
Many thanks in advance for your kind help.
Sattar