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

Achim Zeileis Achim.Zeileis at uibk.ac.at
Mon Dec 20 20:40:47 CET 2010

On Mon, 20 Dec 2010, JoonGi wrote:

> 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?

You can team up coeftest() with other "vcov" functions, such as hccm() 
from "car" or vcovHC() from the "sandwich" package. Actually, there is an 
example on ?coeftest for the latter.

Also, there are various worked examples in

   vignette("sandwich", package = "sandwich")


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