[R] vcovHC and arima() output

[N. Janz]

Dear all,



how can I use vcovHC() to get robust/corrected standard errors from an 
arima() output?



I ran an arima model with AR(1) and got the estimate, se, zvalue and 
p-value using coeftest(arima.output).



However, I cannot use vcovHC(arima.output) to get corrected standard 
errors. It seems vcovHC works only with lm and plm objects?



Is there another way I can get robust/corrected standard errors, or am I 
missing something?



Thank you!


Nicole


--


I got this error:



> coeftest(arima.res.total,vcovHC)



Error in terms.default(object) : no terms component nor attribute




I also tried this:



> coeftest(arima.res.total, vcovHC=vcovHC(arima.res.total, 
> method="arellano"))



I do get an output table, but the standard errors do not change at all from 
the original coeftest() table, so I'm not sure it did the job.




-
R version 2.15.2 (2012-10-26)


Platform: x86_64-apple-darwin9.8.0/x86_64 (64-bit)


locale:


[1] C/en_US.UTF-8/C/C/C/C

attached base packages:


[1] grid splines stats graphics grDevices utils datasets methods base

other attached packages:

 [1] ellipse_0.3-7 corrgram_1.4 seriation_1.0-10 colorspace_1.2-0 
gclus_1.3.1 TSP_1.0-7 cluster_1.14.3 car_2.0-15 nnet_7.3-5 [10] 
tseries_0.10-30 pcse_1.8 arm_1.6-04 foreign_0.8-51 abind_1.4-0 
R2WinBUGS_2.1-18 coda_0.16-1 lme4_0.999999-0 Matrix_1.0-10 [19] 
lattice_0.20-10 gplots_2.11.0 KernSmooth_2.23-8 caTools_1.14 gdata_2.12.0 
gtools_2.7.0 Hmisc_3.10-1 survival_2.37-2 simcf_0.2.8 [28] lmtest_0.9-30 
plm_1.3-1 sandwich_2.2-9 zoo_1.7-9 MASS_7.3-22 Formula_1.1-0 nlme_3.1-106 
bdsmatrix_1.3

loaded via a namespace (and not attached):

[1] bitops_1.0-4.2 quadprog_1.5-4 stats4_2.15.2  tools_2.15.2