[R] function for linear regression with White std. errors

[John Fox]

Dear Brian,

How about sqrt(diag(hccm(mod)))? If that's too onerous, then you could
define a function to do it, e.g.,

  wse <- function(mod) sqrt(diag(hccm(mod)))

and then enter wse(mod). If you want a more complete, table-like summary of
the model using White standard errors, then you could easily write a
function to provide that.

Regards,
 John

--------------------------------
John Fox
Department of Sociology
McMaster University
Hamilton, Ontario
Canada L8S 4M4
905-525-9140x23604
http://socserv.mcmaster.ca/jfox 
-------------------------------- 

> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch 
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Brian Quinif
> Sent: Thursday, April 27, 2006 7:34 PM
> To: r-help at stat.math.ethz.ch
> Subject: [R] function for linear regression with White std. errors
> 
> I would like to know if there is a function that will run a 
> linear regression and report the White (heteroscedasticity 
> consistent) std.
> errors.
> 
> I've found the hccm() function in the car library, but that 
> just gives me the White covariance matrix.  I'd like to be 
> able to see the White std. errors without having to do much 
> more work, if possible.
> 
> Thanks,
> 
> Brian
> 
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