[R] function for linear regression with White std. errors
bquinif at gmail.com
Fri Apr 28 03:03:43 CEST 2006
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
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.
> John Fox
> Department of Sociology
> McMaster University
> Hamilton, Ontario
> Canada L8S 4M4
> > -----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
> > ______________________________________________
> > R-help at stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide!
> > http://www.R-project.org/posting-guide.html
More information about the R-help