[R] predict() and heteroskedasticity-robust standard errors
Achim.Zeileis at uibk.ac.at
Mon Jul 25 09:33:11 CEST 2011
On Mon, 25 Jul 2011, E Hofstadler wrote:
> 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.
coeftest() returns objects of class "coeftest" and these do not contain
enough information to do predictions of the response in any model.
> I'm not sure actually whether what I'm trying to do is statistically
> meaningful, so any general advice is welcome.
My feeling is that it is not meaningful. The whole sandwich idea is that
you can get a consistent estimate of the standard errors of the
coefficient estimates - without specifying the standard errors (or even
the whole likelihood) of the disturbances in the model. For
observation-wise interval prediction, however, I think that you need some
specification of the variance of the disturbances.
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