Hi I am using NeweyWest standard errors to correct lm( ) output. For example:
lm(A~A1+A2+A3+A4+A5+B1+B2+B3+B4+B5)
vcovNW<-NeweyWest(lm(A~A1+A2+A3+A4+A5+B1+B2+B3+B4+B5))
I am using package(sandwich) for NeweyWest. Now when I run this command, it
gives following error:
Error in solve.default(diag(ncol(umat)) - apply(var.fit$ar, 2:3, sum)) :system
is computationally singular: reciprocal condition number = 7.49468e-18
Attached herewith is data for A&B, A1,A2,A3,A4,A5,B1,B2,B3,B4,B5 are simply lag
variables. Can you help me removing this error please?
Saba
A B
739171876.1 -30023111.44
487266676 21283768.23
372851476.2 -40442678.43
63229603.27 10656220.9
42006490.16 -11533497.55
190745334.6 -5394116.27
172710138.6 -15091006.48
231059302.6 23568469.87
519602621.8 64131342.59
997358074.8 23623980.29
291864614.4 65303351.45
80844732.71 69354076.9
701170068.3 106386633.8
440463911.3 105165515.5
67256920.87 57943316.76
64101070.8 50209212.89
-71028831.03 31292473.88
-197854142.5 32805225.46
-189290263.3 4638671.93
-520470164.7 962640792.4
-471115277.3 -1093666458
-955868238 -102261874.8
-1098715609 -101020121.9
-738546938.5 -69222216.12
-1085874990 -136045443.9
193157212.1 -2473692.63
-6269415.53 -28891931
199824564.8 5127403.1
302376261.5 6655585.13
-67851220.11 -13741489.54
-370952947 -24219268.21
34404761.25 27283468.9
-428849252.4 -85765593.88
-924463014 -112574045.5
-495270249.6 -2965265.14
-668618574.5 -39930551.16
-10436100.77 90010638.89
-281751636.5 -22157882.66
-385194083 43186980.6
104681563.1 40450660.38
-15283793.52 60454998.18
-26567438.37 52683189.8
-98612309.08 25319905.01
21402708.99 44019777.51
-74846057.05 45104511.78
-951203476.3 9858962.32
-338231274.1 86293283.74
-424023473.5 102767273.6
20027128.13 185851266
-815545.8 163237321.2
46996041.85 194808435
134571135.3 122988858.9
-183703166 53086443.78
212728895.5 73301796.9
-197466304.2 -11713239.02
-393762814.7 11580149.74
-343324235.6 -13610112.45
-260888613.9 10047787.51
-759009960.6 -151251490.8
-383721497 -151251490.8
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