I give you a reproducable example from my data: ## packages library("sandwich") library("lmtest")
## data DYF <- c(-0.1164, 0.1164, -0.1164, -0.1287, 0.1287, 0.4127) BIP <- c(0.063, 0.039, 0.057, 0.036, 0.052, 0.033) AQ <- c(-0.3, -0.9, -0.1, 0.2, 0.0, 1.4) BrInv_t <- c(0.044, 0.044, 0.080, 0.042, 0.028, 0.042) HU_F <- as.data.frame(cbind(DYF, BIP, AQ, BrInv_t)) ## fit + test oberlm <- lm(DYF ~ BIP + AQ + BrInv_t, data=HU_F) coeftest(oberlm, vcov = NeweyWest(oberlm, lag=2)) ## result of the test I get: 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 But when I test the fit on another sample, it works! > DYH <- c(-0.2451, 0.1287, 0.0000, -0.1287, -0.1443, 0.3895) > BIP <- c(0.063, 0.039, 0.057, 0.036, 0.052, 0.033) > Infl <- c(0.0, -0.9, -3.9, -0.5, 2.1, -3.3) > EOil <- c(-0.0089, 0.0249, -0.0038, -0.0044, 0.0082, 0.0108) > HU_H <- as.data.frame(cbind(DYH, BIP, Infl, EOil)) > oberlm <- lm(DYH ~ BIP + Infl + EOil, data=HU_H) > coeftest(oberlm, vcov = 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 -----Ursprüngliche Nachricht----- Von: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im Auftrag von Achim Zeileis Gesendet: Montag, 14. Dezember 2009 12:42 An: Bender, Marina Cc: r-help@r-project.org Betreff: Re: [R] Problem with coeftest using Newey West estimator On Mon, 14 Dec 2009, Bender, Marina wrote: > > 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 L?nge 0 > Zus?tzlich: Warning message: > In log(det(varE[[m - order.min + 1]])) : NaNs wurden erzeugt > > Can anyone understand there the problem is? No, the information above is not enough to replicate the problem. I tried: ## packages library("sandwich") library("lmtest") ## artificial data set.seed(123) HU_I <- as.data.frame(matrix(rnorm(40), ncol = 4)) colnames(HU_I) <- c("DYI", "BIP", "BrInv_bw", "EOil") ## fit + test oberlm <- lm(DYI ~ BIP + BrInv_bw + EOil, data=HU_I) coeftest(oberlm, NeweyWest(oberlm, lag=2)) So clearly there is something going on on your side that is non-standard in some way, e.g., HU_I or one of its columns might be of a non-standard class, there might be too few observations or something else. I don't know, I haven't seen the error above. Look at the posting guide which asks you to provide a small reproducible example. Trying to find one, often helps you to get closer to the source of the problem. traceback() might also help you to get a (partial) solution. Best, Z > Best, > Marina > > > > > > > [[alternative HTML version deleted]] > > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.