Displaying 20 results from an estimated 900 matches similar to: "VAR with HAC"
2009 Mar 10
1
HAC corrected standard errors
Hi,
I have a simple linear regression for which I want to obtain HAC corrected
standard errors, since I have significant serial/auto correlation in my
residuals, and also potential heteroskedasticity.
Would anyone be able to direct me to the function that implements this in R?
It's a basic question and I'm sure I'm missing something obvious here. I
looked up this post:
2009 Jun 26
1
Heteroskedasticity and Autocorrelation in SemiPar package
Hi all,
Does anyone know how to report heteroskedasticity and autocorrelation-consistent standard errors when using the "spm" command in SemiPar package? Suppose the original command is
sp1<-spm(y~x1+x2+f(x3), random=~1,group=id)
Any suggestion would be greatly appreciated.
Thanks,
Susan
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2006 Aug 31
0
Moving Window regressions with corrections for Heteroscedasticity and Autocorrelations(HAC)
# 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
2010 Apr 13
1
Lapack, determinant, multivariate normal density, solution to linear system, C language
r-devel list,
I have recently written an R package that solves a linear least squares
problem, and computes the multivariate normal density function. The bulk
of the code is written in C, with interfacing code to the BLAS and
Lapack libraries. The motivation here is speed. I ran into a problem
computing the determinant of a symmetric matrix in packed storage.
Apparently, there are no explicit
2013 Mar 26
1
Newey West HAC for pooled cross-section data
Hello:
My dataset set contains several thousand rows of data, with each row
containing information for a house. The variables include the sale price of
the house, the quarter 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
2011 Jan 22
1
Newey West HAC-errors for panels
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
2010 Apr 23
0
HAC and Kmean
Hi there,
is it possible in r to use the Initial partition established by using the
HAC partition with the kmean clustering?
E.g. perform the HCA, write the cluster affiliation in a seperate column
> DF$hclus.label <- assignCluster(model.matrix(~-1 + A15 + B12 + C70 + E14 +
+ H61 + N56 + P48 + T69 + W32 + Y43, DF), DF, cutree(HClust.1, k = 3)
-> use this as initial partition in the
2010 Aug 03
4
REmove level with zero observations
If I have a column with 2 levels, but one level has no remaining
observations. Can I remove the level?
Had intended to do it as listed below, but soon realized that even though
there are no observations, the level is still there.
For instance
summary(dbs3.train.sans.influential.obs$HAC)
yields
0 ,1
4685,0
nlevels(dbs3.train.sans.influential.obs$HAC)
yields
[1] 2
drop.list <- NULL
2008 Nov 20
0
A Problem while Calculating Newey-West HAC
Hi,
Does anyone read Verbeek's "A Guide to Modern Econometrics"? In its Section
4.11, how does the last two equations' HAC calculate? I've tried several
groups of parameters in sandwich::NeweyWest, but I still cannot get the same
result. I've tried lag=2 and lag=3, as long as prewhite=FALSE and
prewhite=TRUE yet, but...
Sincerely
Hsiao-nan Cheung
2011 Jan 09
0
Bartlett HAC covariance matrix estimator
Dear everyone:
I am doing a research on several stock markets. And I need to
construct an Bartlett HAC covariance matrix estimator for Sigma(Cov(Y0,Yj)),
j is from 0 to T. Can you tell me how to do it.
Your Sincerely!
Nigel Gregory
01/09/11
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2009 Dec 08
1
Serial Correlation in panel data regression
Dear R users,
I have a question here
library(AER)
library(plm)
library(sandwich)
## take the following data
data("Gasoline", package="plm")
Gasoline$f.year=as.factor(Gasoline$year)
Now I run the following regression
rhs <- "-1 + f.year + lincomep+lrpmg+lcarpcap"
m1<- lm(as.formula(paste("lgaspcar ~", rhs)), data=Gasoline)
###Now I want to find the
2010 Mar 06
1
Robust SE for lrm object
I'm trying to obtain the robust standard errors for a multinomial ordered logit model:
mod6 <- lrm(wdlshea ~ initdesch + concap + capasst + qualrat + terrain,data=full2)
The model is fine but when I try to get the RSE I get an error.
coeftest(mod6, vcov = vcovHAC(mod6))
Error in match.arg(type) :
'arg' should be one of “ordinary”, “score”, “score.binary”, “pearson”,
2004 Aug 12
0
"new" package sandwich 0.1-3
Dear useRs,
here is the announcement for the next "new" package:
sandwich 0.1-3.
sandwich provides heteroskedasticity (and autocorrelation)
consistent covariance matrix estimators (also called HC
and HAC estimators).
The former are implemented in the function vcovHC() (which
was available in strucchange before - and independently
in hccm() in John Fox's car package).
And the
2004 Aug 12
0
"new" package sandwich 0.1-3
Dear useRs,
here is the announcement for the next "new" package:
sandwich 0.1-3.
sandwich provides heteroskedasticity (and autocorrelation)
consistent covariance matrix estimators (also called HC
and HAC estimators).
The former are implemented in the function vcovHC() (which
was available in strucchange before - and independently
in hccm() in John Fox's car package).
And the
2010 Oct 14
1
robust standard errors for panel data - corrigendum
Hello again Max. A correction to my response from yesterday. Things were better than they seemed.
I thought it over, checked Arellano's panel book and Driscoll and Kraay (Rev. Econ. Stud. 1998) and finally realized that vcovSCC does what you want: in fact, despite being born primarily for dealing with cross-sectional correlation, 'SCC' standard errors are robust to "both
2009 Mar 03
2
latex output of regressions with standardized regression coefficients and t-statistics based on Huber-White
Hello,
first of all: I'm new to R and have only used SPSS befor this (which
can't do this at all...).
I'm trying to output some regression results to latex. The regressions
are normal OLS and I'm trying to output the results with standardized
regression coefficients and t-statistics based on "Huber-White sandwich
estimator for variance". The final result should be
2010 Sep 23
1
Newey West and Singular Matrix + library(sandwich)
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
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
A copy of this question can be found on Cross Validated:
https://stats.stackexchange.com/questions/645362
I am estimating a system of seemingly unrelated regressions (SUR) in R.
Each of the equations has one unique regressor and one common regressor. I
am using `gmm::sysGmm` and am experimenting with different weighting
matrices. I get the same results (point estimates, standard errors and
2024 Apr 23
1
System GMM yields identical results for any weighting matrix
Generally speaking, this sort of detailed statistical question about a
speccial package in R does not get a reply on this general R
programming help list. Instead, I suggest you either email the
maintainer (found by ?maintainer) or ask a question on a relevant R
task view, such as
https://cran.r-project.org/web/views/Econometrics.html . (or any other
that you judge to be more appropriate).
2010 May 02
1
question about 2SLS
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