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., -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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and provide commented, minimal, self-contained, reproducible code.
