similar to: Time Series Event Count: Great Responses So Far!

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

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

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

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

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 2.0300 0.179486 BIP

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

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

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

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

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

Hi, how to estimate a the following model in R: y(t)=beta0+beta1*x1(t)+beta2*x2(t)+...+beta5*x5(t)+beta6*y(t-1)+beta7*y(t-2)+beta8*y(t-3) 1) using "lm" : dates &lt;- as.Date(data.df[,1]) selection&lt;-which(dates&gt;=as.Date("1986-1-1") &amp; dates&lt;=as.Date("2007-12-31")) dep &lt;- ts(data.df[selection,c("dep")]) indep.ret1

# 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

Hi all! I am running SXCE 121 on a dual quad-core X2200M2 (64 bit of course). During an installation of a NetBSD 5.0.1 PVM domU, the entire machine crashed with a kernel panic. Here''s what I managed to salvage from the LOM console of the machine: Sep 2 18:55:19 glaurung genunix: /xpvd/xdb@41,51712 (xdb5) offline Sep 2 18:55:19 glaurung genunix: /xpvd/xdb@41,51728 (xdb6) offline

On Fri, 11 Aug 2023 14:03:01 +0200 Kasper Brandt via samba <samba at lists.samba.org> wrote: > Hello > I was directed to discuss this issue here. As I understand the issue > with using the unquoted variable is that it expand globs unless > noglob is set. E.g. > > root at dy3:/# test="b*" > root at dy3:/# a=($test) > root at dy3:/# echo ${a[0]} > bin

Dear ladies and gentlemen, we are developer and producer of UPS devices. Now we would like to integrate a small UPS via USB connection to NAS systems. We heart from third party that we need a special driver for NAS systems to work fine and to display also the company name and UPS device name in the web page / software of NAS. Currently we have a UPS with USB and our own VID (0x2B2D) and PID

On Fri, Aug 11, 2023, at 2:58 PM, Rowland Penny via samba wrote: > On Fri, 11 Aug 2023 14:03:01 +0200 > Kasper Brandt via samba <samba at lists.samba.org> wrote: > > > Hello > > I was directed to discuss this issue here. As I understand the issue > > with using the unquoted variable is that it expand globs unless > > noglob is set. E.g. > > > >

A thought has been bugging me for a month or so, but I don't know where to look for the answer. Would it be possible to port the OpenSSH ssh client to PalmOS and other handheld OS'es like Symbian (EPOC) or PocketPC? Is the processor on PDA's fast enough? Would many libraries have to be ported aswell? I know that PalmOS and EPOC has an IP stack implemented.. Since the development

Please, I seek expertise and advice, possibly leads to R packages or stats literature. My data: measurements of economic variables for each county of California over 37 years. My dependent variable is square feet of office floor space permitted to be added in a county. Independent variables include for example change in number of office jobs in same county same year (and lagged years).