On Fri, 9 Sep 2011, Simon Zehnder wrote:
Hi guyz,
I have run my algorithm in R (see http://pastebin.com/q84Tujfg) and got
the following error:
This is not reproducible. There is only the script but no information
about how it is called. Also, within your script you call
NeweyWest(regression) -- however, "regression" is not defined within the
script!
Error in ar.ols(x, aic = aic, order.max = order.max, na.action = na.action, :
'order.max' must be < 'n.used'
NeweyWest call ar() essentially with order.max = as.integer(prewhite)
which defaults to 1. Thus, the error must be caused by a model with
n.used <= 1 which suggests that it is not a very sensible model to start
with.
I am pretty sure, that the error comes from the NeweyWest function in
line 45, as the NeweyWest function uses the ar.ols() function for pre
whitening. Does anyone has an idea how to circumvent this? Can I just
shut off pre whitening?
Why don't you read the documentation in ?NeweyWest or in
vignette("sandwich", package = "sandwich")?
Z
I am thankful for every suggestion.
Simon
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