First I have to say I am sorry because I have not been so clear in my
previous e-mails. I will try to explain clearer what it is my problem.
I have the following model:
lnP=Sc+Ag+Ag2+Var+R+D
In this model the variable Sc is endogenous and the rest are all objective
exogenous variables. I verified that Sc is endogenous through a standard
Hausman test. To determine this I defined before a new instrumental
variable, I2. Also I detected through a Breusch Pagan Test a problem of
heteroskedasticity.
With the intention to avoid the problem of the endogenous variable and the
heteroskedasticity I want to apply first the technique 2SLS and then based
in these results I want to obtain the t-tests of the coefficients applying
Heteroskedasticity Consistent Standard Errors (HCSE) or Huber-White errors.
Like I showed above I have just one structural equation in the model. In
this situation, to apply 2SLS in R until I know there two possible ways:
First to use the function tsls() from package sem, or second, to use the
function systemfit() from package systemfit. I thought that systemfit was
for situations when there are more than one structural equation in the
model. Anyway I probed with the two ways and I obtained similar results.
Below, I show the program lines:
*Program lines 1:*
* *
*>#### First option: applying tsls ####*
*>library (sem)*
*>Reg1 <-tsls (LnP~Sc+Ag+Ag2+Var+R+D,~I2+Ag+Ag2+Var+R+D) *
*>summary (Reg1)*
* *
*>#### Second option: applying systemfit ####*
*>library (systemfit)*
*>RS <- LnP~Sc+Ag+Ag2+Var+R+D # structural equation*
*>Inst <- ~I2+Ag+Ag2+Var+R+D # instrumental variables*
*>labels <- list("RS")*
*>system <- list(RS)*
*>Reg2 <- systemfit("2SLS", system, labels, Inst, saveMemory=TRUE) *
*>summary (Reg2)*
Now I want to obtain the t-tests of the coefficients but applying the HCSE.
I know two different ways to obtain them: First, applying the function
robcov() from package Design, or Second, applying coeftest() and vcovHV()
from packages lmtest and sandwich. The program lines are the following:
*Program lines 2:*
*>#### First option: using robcov() ####*
*>library (Design)*
*>options(scipen=20)*
*>robcov(Reg1) ### I tried with Reg 2 too*
**
**
**
***>####Second option: using coeftest and vcovHC ####*
*>library (lmtest)*
*>library (sandwich)*
*>coeftest (Reg1, vcov=vcovHC(Reg1 or Reg2, type="HC0")) ### I tried with
Reg 2 too*
In the two cases after trying to apply robcov or coeftest I obtained a
message of error:
*With robcov:*
*> Error in rep.default(1, p) : rep() incorrect type for second argument *
* *
*With coeftest:*
*>** **Error in terms.default(object) : no terms component*
In the following lines I copy all the sequence together from R. If I try
with systemfit instead of tsls I obtain the same result:
*Program lines 3:*
*>ibrary (sem)*
*> Reg1 <-tsls(LnP~Sc+Ag+Ag2+Var+R+D,~I2+Ag+Ag2+Var+R+D)*
*> library (Design)*
*Loading required package: Hmisc*
*Loading required package: chron*
*Hmisc library by Frank E Harrell Jr*
*Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview')*
*to see overall documentation.*
*NOTE:Hmisc no longer redefines [.factor to drop unused levels when*
*subsetting. To get the old behavior of Hmisc type dropUnusedLevels().*
*Loading required package: survival*
*Loading required package: splines*
*Attaching package: 'survival'*
* The following object(s) are masked from package:Hmisc :*
* untangle.specials *
*Design library by Frank E Harrell Jr*
*Type library(help='Design'), ?Overview, or ?Design.Overview')*
*to see overall documentation.*
*Attaching package: 'Design'*
* The following object(s) are masked from package:survival :*
* cox.zph Surv survfit *
* The following object(s) are masked from package:Hmisc :*
* .noGenenerics .R. .SV4. *
*> options(scipen=20)*
*> robcov(Reg1)*
*Error in rep.default(1, p) : rep() incorrect type for second argument*
*> library (lmtest)*
*Loading required package: zoo*
*Attaching package: 'lmtest'*
* The following object(s) are masked from package:Design :*
* lrtest *
*> library (sandwich)*
*> coeftest (Reg1, vcov=vcovHC(Reg1, type="HC0"))*
*Error in terms.default(object) : no terms component*
*>*
I would like to solve these problems and to understand what the meanings of
the errors messages are. Also I want to know if there is another way to
obtain the HCSE through a function, because if I can not fix the problem my
last alternative is to do it manually.
I will thank a lot if somebody can help me
Best wishes
Guillermo
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