vcovHAC: Heteroskedasticty and autocorrelation consistent covariance...

Description Usage Arguments Value Note References Examples

View source: R/dlsem.r

Description

The heteroskedasticty and autocorrelation consistent (HAC) covariance matrix of least square estimates (Newey & West, 1978) is computed. A single group factor may be taken into account.

Usage

1

Arguments

x

An object of class lm or dlsem.

group

The name of the group factor (optional). If NULL, no groups are considered.

Value

A matrix if x is of class lm, or, if x is of class dlsem, a list of matrices, one for each regression model. Each matrix has the attribute max.lag, indicating the maximum lag of autocorrelation, automatically computed based on fit to data. If group is not NULL, this is computed within each group.

Note

Residuals are assumed to be temporally ordered within each group.

References

W. K. Newey, and K. D. West (1978). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703-708.

Examples

1
2
3
4
5
6
7
8
data(industry)
m0 <- lm(Consum ~ -1+Region+quec.lag(Job,0,5,x.group=Region), data=industry)
# traditional covariance matrix
S <- vcov(m0)
# HAC covariance matrix
S_hac <- vcovHAC(m0,group="Region")
# comparison of standard errors
cbind(traditional=sqrt(diag(S)),hac=sqrt(diag(S_hac)))

Example output

Loading required package: graph
Loading required package: BiocGenerics
Loading required package: parallel

Attaching package: 'BiocGenerics'

The following objects are masked from 'package:parallel':

    clusterApply, clusterApplyLB, clusterCall, clusterEvalQ,
    clusterExport, clusterMap, parApply, parCapply, parLapply,
    parLapplyLB, parRapply, parSapply, parSapplyLB

The following objects are masked from 'package:stats':

    IQR, mad, sd, var, xtabs

The following objects are masked from 'package:base':

    Filter, Find, Map, Position, Reduce, anyDuplicated, append,
    as.data.frame, basename, cbind, colMeans, colSums, colnames,
    dirname, do.call, duplicated, eval, evalq, get, grep, grepl,
    intersect, is.unsorted, lapply, lengths, mapply, match, mget,
    order, paste, pmax, pmax.int, pmin, pmin.int, rank, rbind,
    rowMeans, rowSums, rownames, sapply, setdiff, sort, table, tapply,
    union, unique, unsplit, which, which.max, which.min

Loading required package: Rgraphviz
Loading required package: grid
                                      traditional         hac
Region1                                6.40615073  6.92023281
Region2                                5.93683392  6.66213635
Region3                                7.25925699  8.31215085
Region4                                7.33081795  8.63348557
Region5                                7.33584368  8.50646415
Region6                                6.67594033 10.03832277
Region7                                7.68156340 11.43634646
Region8                                4.97581770  5.93481885
Region9                                4.43846357  4.25452702
Region10                               6.27941589  6.95906473
quec.lag(Job, 0, 5, x.group = Region)  0.01001767  0.01198433

dlsem documentation built on Oct. 30, 2019, 11:40 a.m.