On Mon, 17 Jan 2005 14:57:33 +0000 Tobias Muhlhofer wrote: > Hi! > > I need to run ols regressions with Huber-White sandwich estimators and > the correponding standard errors, without an intercept. What I'm > trying to do is create an ols object and then use the robcov() > function, on the order of: > > f <- ols(depvar ~ ind1 + ind2, x=TRUE) > robcov(f) > > However, when I go > > f <- ols(depvar ~ ind1 + ind2 -1, x=TRUE) > > I get the following error: > > Error in ols(nareit ~ SnP500 + d3yrtr - 1) : > length of dimnames [2] not equal to array extent > > same with +0 instead of -1. > > Is there a different way to create an ols object without a constant? I > can't use lm(), because robcov() needs an object from the Design() > series. > > Or is there a different way to go about this?
I am not sure if the problem can also be avoided or worked around in Design, but the functions hccm() from car or vcovHC() from sandwich can also compute the Huber-White (and other) HC covariance matrix estimates for fitted "lm" objects. For computing the corresponding t-tests or z-tests, you can use the function coeftest() in lmtest. See the corresponding man page for examples. Best, Z > Tobias Muhlhofer > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html