[R] predict() and heteroskedasticity-robust standard errors

E Hofstadler e.hofstadler at gmail.com
Mon Jul 25 08:27:29 CEST 2011

Hello there,

I have a linear regression model for which I estimated
heteroskedasticity-robust (Huber-White) standard errors using the
coeftest function
in the lmtest-package.

Now I would like to inspect the predicted values of the dependent
variable for particular groups and include a confidence interval for
this prediction.

My question: is it possible to estimate confidence intervals for the
values predicted by a model with heteroskedasticity-robust standard
errors? The usual predict() function doesn't accept the objects
of class "coef" returned by coeftest. I'm not sure actually whether
what I'm trying to do is statistically meaningful, so any general
advice is welcome.


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