Re: [R] error in vcovNW

Hi Thanks for the reminder. Actually I want to analyse whether present value of variable A is Granger caused by lag values of B and test linear hypothesis "B1,B2,B3,B4,B5=0". Therefore, to get robust standard error NeweyWest estimates are applied. Saba On Saturday, 19 December 2015, 23:26,

Re: [R] error in vcovNW

On Sat, 19 Dec 2015, Saba Sehrish wrote: Thank you. The issue is resolved by scaling the data in millions. That solves the numerical problem but the second issue (inappropriateness of the Newey-West estimator for an autoregressive model) persists. Saba On Saturday, 19 December 2015,

[R] error in vcovNW

Hi I am using NeweyWest standard errors to correct lm( ) output. For example: lm(A~A1+A2+A3+A4+A5+B1+B2+B3+B4+B5) vcovNW<-NeweyWest(lm(A~A1+A2+A3+A4+A5+B1+B2+B3+B4+B5)) I am using package(sandwich) for NeweyWest. Now when I run this command, it gives following error: Error in

Re: [R] error in vcovNW

Thank you. The issue is resolved by scaling the data in millions. Saba On Saturday, 19 December 2015, 15:06, Achim Zeileis wrote: On Sat, 19 Dec 2015, Saba Sehrish via R-help wrote: > Hi I am using NeweyWest standard errors to correct lm( ) output. For

Re: [R] error in vcovNW

On Sat, 19 Dec 2015, Saba Sehrish via R-help wrote: Hi I am using NeweyWest standard errors to correct lm( ) output. For example: lm(A~A1+A2+A3+A4+A5+B1+B2+B3+B4+B5) vcovNW<-NeweyWest(lm(A~A1+A2+A3+A4+A5+B1+B2+B3+B4+B5)) I am using package(sandwich) for NeweyWest. Now when I run this command,