[R] Help regarding White's Heteroscedasticity Correction

[John Fox]

Dear Kishore,

Yes, White's heteroscedasticity-consistent standard errors are just that --
standard errors for the OLS coefficients that are consistent in the presence
of heteroscedasticity. The coefficients themselves don't change. There is an
issue here: although the standard errors and OLS coefficients are
consistent, the OLS estimates lose efficiency. If you know that pattern of
heteroscedasticity, then you might get more efficient estimates by taking it
into account, e.g., in weighted-least-squares regression, or, if the
residual spread increases with the fitted values, by transforming the
response.

I hope this helps,
 John

------------------------------
John Fox, Professor
Department of Sociology
McMaster University
Hamilton, Ontario, Canada
web: socserv.mcmaster.ca/jfox


> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On
> Behalf Of Kishore
> Sent: February-10-09 9:19 AM
> To: r-help at r-project.org; r-help at stat.math.ethz.ch
> Subject: [R] Help regarding White's Heteroscedasticity Correction
> 
> Hi
> I am actually running the White test for correcting Heteroscedasticity.  I
> used sandwich() & car(), however the output shows the updated t test of
> coefficients, with revised Standard Errors, however the estimates remained
> same.  My problem is that the residuals formed a pattern in the original
> regression equation.  After running the White's test, I got some new
> standard errors - but from here I didn't understand how to plot the
> residuals (or) how to correct the estimates??  Can some one direct me in
> this regard..
> 
> Best,
> 
> Kishore/..
> http://kaykayatisb.blogspot.com
> 
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> 
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