[R] Problem with coeftest using Newey West estimator

[Bender, Marina]

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, 0.0000, -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-bounces at r-project.org [mailto:r-help-bounces at r-project.org] Im Auftrag von Achim Zeileis
Gesendet: Montag, 14. Dezember 2009 12:42
An: Bender, Marina
Cc: r-help at 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
>
>
>
>
>
>
> 	[[alternative HTML version deleted]]
>
>

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