> Hi,
>
> I want to calculate the t- and p-values for a linear model using the Newey
> West estimator.
> I tried this Code and it usually worked just fine:
>
> > oberlm <- lm(DYH ~ BIP + Infl + EOil, data=HU_H)
> > coeftest(oberlm, NeweyWest(oberlm, lag=2))
>
> t test of coefficients:
>
> Estimate Std. Error t value Pr(>|t|)
> (Intercept) 0.1509950 0.0743832 2.0300 0.179486
> BIP -5.5131683 1.2536813 -4.3976 0.048016 *
> Infl -0.0623530 0.0036215 -17.2175 0.003356 **
> EOil 8.6762170 0.0853216 101.6884 9.67e-05 ***
> ---
> Signif. codes: 0 > '> ***> '> 0.001 > '> **> '> 0.01 > '> *> '> 0.05 > '>
> .> '> 0.1 > '> > '> 1
>
>
>
> But then I got an error and I don't understand what it means or even why it
> occurs now:
>
> > oberlm <- lm(DYI ~ BIP + BrInv_bw + EOil, data=HU_I)
> > coeftest(oberlm, NeweyWest(oberlm, lag=2))
> Fehler in if ((dimension < 1) | (dimension > n)) stop("wrong embedding
> dimension") :
> Argument hat Länge 0
> Zusätzlich: Warning message:
> In log(det(varE[[m - order.min + 1]])) : NaNs wurden erzeugt
>
> Can anyone understand there the problem is?
>
> Best,
> Marina
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