On Sun, 29 May 2016, T.Riedle wrote:
Dear R users,
I am trying to run a logistic regression using zelig. The simple
logistic regression works well but now I want to have HAC robust
standard errors. I have read in the manual that there is an option
called "robust" and that zelig() computes robust SE via the sandwich
package. However, it doesn't work. My code looks as follows:
crisis_bubble4<-zelig(stock.market.crash~crash.MA+bubble.MA+MP.MA+UTS.MA+UPR.MA+PPI.MA+RV.MA<http://rv.ma/>,robust=TRUE,model="logit",data=Data_logitregression_movingaverage)
Error in glm.control(robust = TRUE) : unused argument (robust = TRUE)
Possibly this changed in recent versions of "Zelig". The documentation
for relogit on the official Zelig web page shows the same error:
http://docs.zeligproject.org/en/latest/zelig-relogit.html#example-2-one-tau-with-weighting-robust-standard-errors-and-bias-correction
In any case, Zelig only interfaced the so-called "robust" standard errors
(sandwich or HC0) and not the ones with HAC correction.
I took this code from the zelig manual and don't understand why I get an
error. What is more, I want to calculate NeweyWest SE or the SE using
the weights by Andrews via the kernHAC function. How can I do that?
Why do you want to use Zelig? Apparently, the solution using plain glm()
along with the sandwich package and coeftest() did work for you. And in my
other e-mail I showed you how you can use lrm().
Thanks for your support.
Kind regards
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