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

[Brian Quinif]

John,

Thanks for the suggestion, but tomorrow I am teaching a little seminar
for my department trying to convince people about how wonderful R is.
These people are all Stata users, and they really like the idea that
they only have to type ", robust" to get het. consistent std. errors.

My pitch to a lot of them has been that R is a great and flexible tool
which one doesn't have to be a programming whiz to use.  If they have
to start writing functions to do something as basic as this, then my
colleagues will probably stay in Stata-land.  I'm trying to prevent
that!

Regards,

Brian

2006/4/27, John Fox <jfox at mcmaster.ca>:
> 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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