Hi,
As I didn't get a response last week, I try it again.
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 -5.5131683 1.2536813 -4.3976 0.048016 *
Infl -0.0623530 0.0036215 -17.2175 0.003356 **
EOil 8.6762170 0.0853216 101.6884 9.67e-05 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
But then I got an error and I don't understand what it means or even why it
occurs now:
> oberlm <- lm(DYI ~ BIP + BrInv_bw + EOil, data=HU_I)
> coeftest(oberlm, NeweyWest(oberlm, lag=2))
Fehler in if ((dimension < 1) | (dimension > n)) stop("wrong embedding
dimension") :
Argument hat Länge 0
Zusätzlich: Warning message:
In log(det(varE[[m - order.min + 1]])) : NaNs wurden erzeugt
Can anyone understand there the problem is?
Best,
Marina
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