[R] After heteroskedasticity correction, how can I get new confidential interval?

JoonGi joongi at hanmail.net
Mon Dec 20 18:16:09 CET 2010


First of all, thanks for your guide!

Let me be more specific, here.

Using
data(Housing) from Ecdat library

I ran a regression
raw.model<-lprice~llot+lbed+lbath+lsto+factor(driveway)+factor(recroom)+factor(fullbase)+factor(gashw)+factor(airco)+factor(prefarea)+factor(garagepl)
coeftest(lm(raw.model))

and I got heteroskedasticity in significant level 5% such as below.
bptest(lm(raw.model))

So, I corrected like this.
sqrt(diag(hccm(lm(raw.model),type="hc1")))

This gave me the corrected std.errors.

>From this moment, I want to test whether my parameters are individually  and
jointly significant since the new std.error will change
coeftest(lm(raw.model))'s t, p and F value.

Then, How can I get these new t, p, F? Is there any R command for this?

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