[R] vcovHC and arima() output

[Achim Zeileis]

On Sat, 30 Mar 2013, N. Janz wrote:

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

I'm not sure whether it is feasible to apply HC corrections to ML 
estimates of ARIMA models. It's not clear to me whether these would really 
be robust against heteroskedasticity of the innovations.

> 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?

In principle, vcovHC() or sandwich() can be applied to a wider range of 
models that provide certain methods: Either a vcovHC method directly (like 
plm) or an estfun method for sandwich etc. For details see
vignette("sandwich-OOP", package = "sandwich")

Whether it is sensible to apply these method (or whether it makes the 
standard errors robust against anything) is a different matter though.

Best,
Z

> 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
>
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