RiGui <raluca.gui <at> business.uzh.ch> writes: >
[snip] > I am terribly sorry for the code not being reproducible, is the > first time I am posting here, I run the code several times before I > posted, but...I forgot about the library used. Thanks for updating. > To answer to your questions: > >> How do you know this answer is "correct"? > What I am doing is actually a "fixed effect" estimation. I apply a > projection matrix to the data, both dependent and independent > variables, projection which renders the regressors that do not vary, > equal to basically zero - the x1 from the post. > Once I apply the projection, I need to run OLS to get the estimates, > so x1 should be zero. Yes, but not *exactly* zero. > Therefore, the results with the scaled regressor is not correct. > Besides, I do not see why the bOLS is wrong, since is the formula of > the OLS estimator from any Econometrics book. " Because it's numerically unstable. Unfortunately, you can't always translate formulas directly from books into code and expect them to be reliable. Based on Peter's comments, I believe that as expected lm() is actually getting closer to the 'correct' answer. " Thank you to both of you for your comments! I will re-do the analysis following your advice. Best, Raluca -- View this message in context: http://r.789695.n4.nabble.com/Error-in-lm-with-very-small-close-to-zero-regressor-tp4705185p4705231.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
