Hi
 
I have an ADL model, including 2 lags of the endogenous variable¨, 2
lags of exogenous variables and 4 time dummies interacting with one of
the exogenous variables.
 
My model looks like this:
 
resmodel <- lm(diffa_data[,1] ~ diffa_data[,2:dim(diffa_data)[2]] +
diffa_data[,5]:diffa_data[,mod.dimlow:mod.dim]) 
 
with the last term being the interaction between the dummies and an
exogenous variable.
 
I would like to correct for autocorrelation in the errors and am trying
to use
 
coeftest(resmodel, vcov=NeweyWest). 
 
but get the error message:
 
"Error in AA %*% t(X) : requires numeric matrix/vector arguments
In addition: Warning message:
In ar.ols(x, aic = aic, order.max = order.max, na.action = na.action, 
:
  model order: 1singularities in the computation of the projection
matrixresults are only valid up to model order0"
 
Can anyone tell me what this means? Have I misunderstood how I should
use the NeweyWest correction?
 
If I use coeftest(resmodel, vcov=vcovHAC) I get no error message but
the results seem a bit weird since the std errors actually decrease for
some variables compared to when I don't correct for autocorrelation.
 
Any information on the difference between using vcov=NeweyWest and
vcov=vcovHAC would be much appreciated.
 
/Markus
 
 
-----------------------------------------------------------------------
Markus Wråke (prev. Åhman)
Swedish Environmental Research Institute
IVL AB
Box 210 60
SE - 100 31 Stockholm
Sweden

tel:           +46 (0)8 - 598 563 21
mobile:     +46 (0)8 - 598 563 21

fax:           +46 (0)8 - 598 563 90
www.ivl.se

	[[alternative HTML version deleted]]

