[R] Omitting constant in ols() from Design
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? 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
Re: [R] Omitting constant in ols() from Design
On Mon, 17 Jan 2005 14:57:33 + 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
Re: [R] Omitting constant in ols() from Design
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? Tobias Muhlhofer ols does not support this. Sorry. -- Frank E Harrell Jr Professor and Chair School of Medicine Department of Biostatistics Vanderbilt University __ 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
