[R] heteroskedasticity-robust standard errors

[David Barron]

Try the function hccm in the car package.

David

----- Original Message -----
From: "Grant Farnsworth" <gvf at email.byu.edu>
To: "rhelp" <r-help at stat.math.ethz.ch>
Sent: Friday, March 22, 2002 2:09 AM
Subject: [R] heteroskedasticity-robust standard errors


> I am trying to compute the white heteroskedasticity-robust standard errors
> (also called the Huber standard errors) in a linear model, but I can't
seem
> to find a function to do it.  I know that the design library in S+ has
> something like this (robcov?), but I have not yet seen this library ported
> to R.
>
> Anyone know if there is already a function built into R to do this
> relatively simple job?
>
> Thanks,
> Grant
>
> ------------------------------------------------------
> Grant Verdell Farnsworth
> gvf at email.byu.edu
> http://thegrantman.freewebsites.com
> ------------------------------------------------------
>
>
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