'Cannot calculate robust standard errors (vcovHC): multicollinearity and NaN error
I have the following dataset:
share <- c(-0.16,-0.07,0,0,-0.06,-0.06,-0.18,-0.23,-0.07,-0.24,0,0,-0.22,-0.15,0,0,-0.09,-0.2,0,-0.19,0,-0.16,-0.24,-0.14,-0.22,-0.22,0,-0.18,0,0,-0.01,0,0,-0.14,0,-0.06,0,-0.12,0,0,-0.14,0,0,0,-0.02,0,0,0,0,0,-0.19,0,-0.21,-0.08,0,0,0,-0.1,-0.17,0,0,-0.13,-0.08,-0.1,0,-0.05,-0.06,0,0,-0.1,0,0,0,-0.16,0,-0.18,-0.04,-0.08,0,-0.06,0,0,0,-0.2,0,0,-0.08,0,0,-0.01,0,-0.16,-0.08,0,0,0,-0.02,-0.18,0.17,-0.2,-0.14,0,-0.24)
grade <- c(-22.64,-2.39,-15.3,-22.34,-6.39,5.25,0.47,33.61,-0.54,-25.21,16.41,-13.94,21.04,-19.64,-7.48,-32.18,-19.48,21.65,0.88,-1.6,28.49,13.61,-1.69,19.34,2.19,-7.25,6.65,7.25,20.56,16.25,17.24,12.3,3.7,-8.64,8.25,3.27,6,14.32,0.91,8.6,-6.84,13.35,6.99,3.36,0.29,19.46,2,10.75,8.76,-6.54,36.46,28.88,0.44,4.73,3.52,-10.7,-3.88,-2.36,-15.12,9.55,-4.96,10.7,6.84,-10.98,13.03,3.46,14.65,-1.66,6.89,-11.47,-6.52,15.64,3.02,4.11,-8.41,4.77,18.97,-3.73,9.54,-6.06,13.1,-24.62,-2.5,-30.26,3.82,12.97,4,2.21,14.33,12.47,-55.11,19.86,13.7,9.19,-11.01,-2.52,13.1,3.83,1.51,4.18,-3.14,-5.85,8.39)
treat <- c(0,0,0,0,0,0,0,0,0,0,0,1,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0)
dataset <- as.data.frame(cbind(share, grade, treat))
I want to run the following linear model and calculate robust standard errors by using the sandwich package.
library(sandwich)
model <- lm(grade ~ treat + share + treat*share, dataset)
robSE <- sqrt(diag(vcovHC(model, type = "HC2")))
The output of the linear model is fine, but the robust standard errors are not calculated: NaN is returned for each standard error.
My guess is that the NaN is due to the variables treat and share being almost perfectly collinear (there is only one observation in which treat=1 and share!=0). The problem is that I must use these variables; I cannot replace them.
Does someone can think of a workaround/solution to this issue?
Sources
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