[R] Huber-white cluster s.e. after optim?
pmuhl1848 at gmail.com
Mon Apr 14 17:10:31 CEST 2008
Hi Achim: Thanks for the reply! I did notice that robcov() requires
the X & Y and also a scores vector and that these are not readily
available under fixed names or at all in output from such functions as
systemfit and optim. I wonder if it would make sense to have a
stop-gap function that would allow the user to specify ingredients
needed to construct the sandwich from varying components available in
such functions as systemfit or optim, assuming the ingredients are
available? Wish I knew more about how sandwiches are constructed.
Incidentally, thanks again for putting in the symbolic method of
specifying linear hypothesis tests. I have been using that
On Mon, Apr 14, 2008 at 6:52 AM, Achim Zeileis
<Achim.Zeileis at wu-wien.ac.at> wrote:
> On Thu, 10 Apr 2008, Peter Muhlberger wrote:
> This is on my wishlist for "sandwich" for a long time. Conceptually, it is
> quite straightforward, but I'm not quite sure how to implement it because
> AFAIK there is no unified way of extracting clustering information from
> fitted regression objects.
> > Peter
> > _______
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