Re: [R] Problem with coeftest using Newey West estimator

Achim Zeileis Mon, 14 Dec 2009 05:41:48 -0800

On Mon, 14 Dec 2009, Bender, Marina wrote:

I give you a reproducable example from my data:


One of my suspicion's was correct: too few data.

You have 6 observations with which you estimate 4 regression coefficients.That's already questionable. But then, to obtain the standard errors, youwant to prewhite the estimating functions (= fitting a VAR(1) to the4-dimensional series of length 6) and finally apply a kernel smoother tothe prewhitened estimating functions to obtain the 4 standard errors.

In short: This is far too complex for the amount of data you have andshould not have been employed in the first place.

The explanation for the error message you see is: The problems above leadto numerical instabilities which produce a determinant of about -7e-17which should be >= 0. This happens in ar.ols() (so not in NeweyWest()).I'll send an e-mail to R-devel about this so that a more useful errormessage can be thrown in the future.


Best,
Z

## 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






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Re: [R] Problem with coeftest using Newey West estimator

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