On Mon, 2 Jun 2014, Nick Pretnar wrote:
Hello,
I am having a great amount of difficulty running a simple linear regression
model with entity and time fixed effects and HAC standard errors. I have a data
set with 3 million observations and 30 variables. My data is structured as
follows:
NAME STATE YEAR Y X1 X2
1 1 2012 1 1 1
2 1 2012 1 2 7
3 1 2012 1 1 2
4 2 2012 2 4 5
etc. ... For every state in every year, there are about 10,000 row
vectors corresponding to individual observations. This is not a
longitudinal dataset: an individual surveyed in year 2000 in state 1 is
never spoken to again. Nonetheless, I still wish to control for
geographical and time fixed effects. To do so, I run the following:
If you haven't got a longitudinal or time series data, then I wonder why
you want to consider HAC standard errors (which explicitly try to adjust
for autocorrelation). I guess that it would be more natural to simply use
clustered standard errors, some of which are also robust against certain
types of autocorrelation.
I would recommend that you use the "plm" package for your panel data. If
you want to employ OLS estimation, you can use plm(..., model = "pooling")
and adding certain id or time effects. And then plm has a number of vcov*
functions for certain robust covariances: vcovBK, vcovHC, vcovSCC. See the
corresponding manual pages for more details.
hth,
Z
load("data.frame.rda")
library(sandwich)
library(pcse)
model <- lm(data.frame$Y ~ data.frame$X1 + data.frame$X2 +
as.factor(data.frame$state) + as.factor(data.frame$year))
vcovHAC(model, prewhite = FALSE, adjust = FALSE, sandwich = TRUE, ar.method =
"ols")
R will not return any results, yet acts as if it is computing the results. This
goes on for 4 hours or more.
I wanted to run the following:
library(pcse)
model <- lm(data.frame$Y ~ data.frame$X1 + data.frame$X2 +
as.factor(data.frame$state) + as.factor(data.frame$year))
model.pcse <- pcse(model, groupN = data.frame$state, groupT = data.frame$year)
But I get the error:
Error in pcse(model, groupN = BRFSS_OBESEBALANCED$X_STATE, groupT =
BRFSS_OBESEBALANCED$YEAR) :
There cannot be more than nCS*nTS rows in the using data!
If there are any workarounds for this problem, I would greatly appreciate
learning about them.
Thanks,
Nicholas Pretnar
University of Missouri, Economics
npret...@gmail.com
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