[R] Omitting constant in ols() from Design

[Achim Zeileis]

On Mon, 17 Jan 2005 14:57:33 +0000 Tobias Muhlhofer wrote:

> Hi!
> 
> I need to run ols regressions with Huber-White sandwich estimators and
> the correponding standard errors, without an intercept. What I'm
> trying to do is create an ols object and then use the robcov()
> function, on the order of:
> 
> f <- ols(depvar ~ ind1 + ind2, x=TRUE)
> robcov(f)
> 
> However, when I go
> 
> f <- ols(depvar ~ ind1 + ind2 -1, x=TRUE)
> 
> I get the following error:
> 
> Error in ols(nareit ~ SnP500 + d3yrtr - 1) :
>          length of dimnames [2] not equal to array extent
> 
> same with +0 instead of -1.
> 
> Is there a different way to create an ols object without a constant? I
> can't use lm(), because robcov() needs an object from the Design()
> series.
> 
> Or is there a different way to go about this?

I am not sure if the problem can also be avoided or worked around in
Design, but the functions hccm() from car or vcovHC() from sandwich can
also compute the Huber-White (and other) HC covariance matrix estimates
for fitted "lm" objects.
For computing the corresponding t-tests or z-tests, you can use the
function coeftest() in lmtest. See the corresponding man page for
examples.

Best,
Z

> Tobias Muhlhofer
> 
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