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

Frank E Harrell Jr f.harrell at vanderbilt.edu
Fri Apr 28 16:34:58 CEST 2006

Thomas Lumley wrote:
> On Thu, 27 Apr 2006, Brian Quinif wrote:
>>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.
> This really is a unique feature of Stata.  It's not hard to add the 
> standard errors to glm(), but it is harder to make other functions such as 
> predict() use them properly.
> The survey package gives these standard errors by default, but that might 
> also be regarded as too much work.

The Design package also does this:
f <- fittingfunction( )
g <- robcov(f, ...)
plot(g); summary(g) etc uses robust s.e.


>  	-thomas
> Thomas Lumley			Assoc. Professor, Biostatistics
> tlumley at u.washington.edu	University of Washington, Seattle
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Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University

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