[R] white heteroskedasticity standard errors NLS

Achim Zeileis Achim.Zeileis at uibk.ac.at
Fri Apr 5 19:18:52 CEST 2013

On Fri, 5 Apr 2013, Nilesh Gupta wrote:

> Hello
> Is there any function to calculate White's standard errors in R in an 
> NLS regression. The sandwich and car package do it but they need an lm 
> object to calculate the error's.

The infrastructure in "sandwich" is object-oriented and _not_ limited to 
"lm" objects, see: vignette("sandwich-OOP", package = "sandwich")

The vcovHC() function is limited to models with a certain structure (in 
particular with a model matrix) and hence cannot be applied to "nls" 
models. However, the sandwich() function can be easily applied. In linear 
models the sandwich() estimator corresponds to vcovHC(..., type = "HC0").

> Does anyone have idea how to do it for an NLS object ?

## Run examples from manual page

## the usual covariance matrix and associated standard errors

## the sandwich (aka HC0) covariance matrix and standard errors

## associated coefficient tests
coeftest(nlmod, vcov = sandwich)

> Regards
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