[R] Correct for heteroscedasticity using car package

Carrasco-Torrecilla, Roman R roman.carrasco06 at imperial.ac.uk
Thu Sep 4 15:03:04 CEST 2008

Dear all,
Sorry if this is too obvious.
I am trying to fit my multiple regression model using lm()
Before starting model simplification using step() I checked whether the
model presented heteroscedasticity with ncv.test() from the CAR package.
It presents it.

I want to correct for it, I used hccm() from the CAR package as well and
got the Heteroscedasticity-Corrected Covariance Matrix.

I am not sure what am I supposed to do with the matrix. I guess I should
run my model again telling it to use that matrix but I don't really find
the parameter in lm() to tell R so. I guess it should be somewhere in

I would really appracite if you could show me how I would do it or
recommend a text on how to correct heteroscedasticity with R.

Many thanks.

Roman Carrasco.

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