Carsten, the language on this list is English.
On Wed, 2 Jun 2004 11:17:04 +0200 [EMAIL PROTECTED] wrote: > Liebes r-help-Team, > > ich bin gerade an meiner NDK-Abschlussarbeit und wollte anfragen, ob > Sie wissen, ob R und S-plus eine Kovarianz f�r robuste MM-Sch�tzer > zur Verf�gung stellen, die gegen Autokorrelation resistent ist. This can be done with a combination of the function rlm() for fitting robust linear models in MASS and the functions from the package sandwich for computing HAC (heteroskedasticity and autocorrelation consistent) covariance matrices. One possibility would be to compute a kernel HAC estimate with automatic bandwidth selection (Andrews, 1991, Econometric) which is implemented in kernHAC. So you first fit the model fm <- rlm(yourmodel, method = "MM") using rlm() and then can estimate the corresponding HAC covariance matrix of the coefficients by kernHAC(fm) hth, Z > K�nnen Sie mir da weiterhelfen? > > Vielen Dank, > Carsten Colombier > > > Dr. Carsten Colombier > Economist > Swiss Federal Finance Administration FFA > Group of Economic Advisers > Bundesgasse 3 > CH-3003 Bern > Switzerland > > email [EMAIL PROTECTED] > phone 0041-31-3226332 > fax 0041-31-3230833 > > ______________________________________________ > [EMAIL PROTECTED] mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
