Hi,

I am trying to obtain the heteroskedasticity consitent standard errors
(HCSE) after apply 2SLS. I obtain 2SLS through tsls from package sem or
systemfit:


#### tsls ####

library (sem)

Reg2SLS <-tsls(LnP~Sc+Ag+Ag2+Var+R+D,~I2+Ag+Ag2+Var+R+D)

summary (Reg2SLS)



#### systemfit ####

library (systemfit)

RS <- LnP~Sc+Ag+Ag2+Var+R+D

Inst <- ~I2+Ag+Ag2+Var+R+D

labels <-list("RS")

system <-list(RS)

Reg2SLS <- systemfit("2SLS", system, labels, Inst, saveMemory=TRUE)

summary (Reg2SLS)

If I try to obtain the HCSE with robcov I obtain the following error message
in both cases:


Error in rep.default(1, p) : rep() incorrect type for second argument



If I tried to apply vcovHAC or vcovHC in the systemfit output of 2SLS I
receive the following messages of errors respectively:



Error in estfun(x) : no applicable method for "estfun" (for vcovHAC)



Error in terms.default(object) : no terms component (for vcovHC)



If somebody can help me to solve this problem I will thank you a lot.



Best regards



Guillermo

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