[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
example("nls")
## the usual covariance matrix and associated standard errors
vcov(nlmod)
sqrt(diag(vcov(nlmod)))
## the sandwich (aka HC0) covariance matrix and standard errors
library("sandwich")
sandwich(nlmod)
sqrt(diag(sandwich(nlmod)))
## associated coefficient tests
library("lmtest")
coeftest(nlmod)
coeftest(nlmod, vcov = sandwich)
> Regards
> The woods are lovely, dark and deep
> But I have promises to keep
> And miles before I go to sleep
> And miles before I go to sleep
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