Re: [R] Calculate Adjusted vcov Matrix acc. to Shanken(1992) (Generated Regressor Problem)

Dear R Users, please find attached what I believe to be the solution to my problem. Note that I am still not 100% sure if my approach really does what it is intended to do and if it is applicable to my case at all. Any comment or correction is highly appreciated. Best wishes, Philipp #

[R] Calculate Adjusted vcov Matrix acc. to Shanken(1992) (Generated Regressor Problem)

Dear R Users, I wish to estimate a regression: y=a+b x1+c x2+d x3+e where a is the constant, b,c,d are coefficients and e represents the residuals. However, I find x1 and x2 to correlate. In order to avoid multicollinearity, I split up the estimation: (1) x2~a1+ b1 x1 + e1 (2) y=a2+b2 x1+ c2 e1+

[R] gnls() and "L-BFGS-B" in library(nlme)

(100,100,100), weights = varPower(),control=gnlsControl(opt="optim",optimMethod="L-BFGS-B")) summary(fm3) Do you know a way to include lower and upper bounds? And: How do I restrict only selected parameters while I wish others to t

[R] Manual two-way demeaning of unbalanced panel data (Wansbeek/Kapteyn transformation)

value to me. Also, comments on how to increase the efficiency of my function would help! Please find an example based on the Grunfeld data below. Thank you very much! Philipp Grueber ## library(MASS) getQ<-function(object,t.index,i.index){ t.ind<-obje

Re: [R] MA process in panels

appropriate panel dataset). If my approach is incorrect, I hope these thoughts nevertheless help some more advanced R users to find a proper way to estimate panel ARMAs. Any comment is highly appreciated! Thank you very much again, Philipp Grueber # Data Import library(plm) library(lmtest

Re: [R] error in La.svd Lapack routine 'dgesdd'

Addendum to my first post: Since I wish to understand what plm does to my data, I tried to manually calculate the demeaned values and use OLS. See below how far I got with the Grunfeld data; formula's are based on Greene's Econometric Analysis. Obviously, I am missing at least one important step

Re: [R] error in La.svd Lapack routine 'dgesdd'

changes over time (as in the subsamples I do see such a change). Any help is appreciated! Best wishes, Philipp Grueber - EBS Universitaet fuer Wirtschaft und Recht FARE Department Wiesbaden/ Germany http://www.ebs.edu/index.php?id=finacc&L=0 -- Vi

[R] MA process in panels

__ Am I on the right track? Is there an easier way to do this? Did I miss something important? Any help is appreciated, thanks a lot in advance! Best, Philipp __ Philipp Grueber EBS Universitaet fuer Wirtschaft und Recht Wiesbaden, Germa

[R] biglm() and NeweyWest()

Dear all, I am working on a large dataset and need to use biglm() to perform OLS regressions. I have detected significant ARCH effects which I try to account for using the Newey-West correction. So far, I have worked with NeweyWest() in the sandwich package. NeweyWest() however seems to be unabl

Re: [R] VECM - GARCH using maxLik()

Hi Arne, thanks for the quick answer & sorry for the mistake. Please find a corrected version of the code below. Unfortunately, the model still does not work – due to an error I believed to have overcome: “In log(2 * pi * sig2[i]) : NaNs produced” So my questions remain the same: Why doesn't thi

[R] VECM - GARCH using maxLik()

i-1]^2 + beta*sig2[i-1] ll[i] <- -1/2*log(2*pi*sig2[i]) - 1/2*res[i]^2/sig2[i] } ll } est <- maxLik(loglik, start=c(.5,.5,.5,.5,.5,.5,.5,.5,.5,.5)) summary(est) Any help is highly appreciated. Thank you very much in advance, Philipp Grueber EBS Univer