[R] zelig package: robust SE

[Achim Zeileis]

On Sun, 29 May 2016, T.Riedle wrote:

> Dear R users,
>
> I am trying to run a logistic regression using zelig. The simple 
> logistic regression works well but now I want to have HAC robust 
> standard errors. I have read in the manual that there is an option 
> called "robust" and that zelig() computes robust SE via the sandwich 
> package. However, it doesn't work. My code looks as follows:
>
> crisis_bubble4<-zelig(stock.market.crash~crash.MA+bubble.MA+MP.MA+UTS.MA+UPR.MA+PPI.MA+RV.MA<http://rv.ma/>,robust=TRUE,model="logit",data=Data_logitregression_movingaverage)
>
> Error in glm.control(robust = TRUE) : unused argument (robust = TRUE)

Possibly this changed in recent versions of "Zelig". The documentation 
for relogit on the official Zelig web page shows the same error:
http://docs.zeligproject.org/en/latest/zelig-relogit.html#example-2-one-tau-with-weighting-robust-standard-errors-and-bias-correction

In any case, Zelig only interfaced the so-called "robust" standard errors 
(sandwich or HC0) and not the ones with HAC correction.

> I took this code from the zelig manual and don't understand why I get an 
> error. What is more, I want to calculate NeweyWest SE or the SE using 
> the weights by Andrews via the kernHAC function. How can I do that?

Why do you want to use Zelig? Apparently, the solution using plain glm() 
along with the sandwich package and coeftest() did work for you. And in my 
other e-mail I showed you how you can use lrm().

> Thanks for your support.
>
> Kind regards
>
> 	[[alternative HTML version deleted]]
>
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