[R] Complements about heteroscedasticity

[Thomas Lumley]

On Sat, 9 Dec 2000 E97249 at edu.essec.fr wrote:

> Hi all,
> 
> A couple of days ago, I posted a message regarding the support for
> heteroscedasticity testing in R. In fact, there are several tests and
> methods to assess whether the residuals of a model are heteroscedastic
> or not. The one for which I was claiming information can be found in
> William Greene's "Econometric Analysis", chapter 12. It's about
> White's *estimator*, not test, and it consists in replacing the beta's
> variance's traditionnal estimator by a new one calculated with the
> least squares residuals (instead of sigma square).
> 
> From there, a new regression is performed that supposedly corrects the
> coefficents.
> 

Code for a collection of these "sandwich" variance estimators for
generalised linear models can be found at
   http://www.biostat.washington.edu/~thomas/weave.html
The functions are intended for various sorts of correlated response data,
but independent data can be analysed as a special case. I don't have code
for the re-estimation, though.


	-thomas

Thomas Lumley
Assistant Professor, Biostatistics
University of Washington, Seattle

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