[R] hetglm() and robust standard errors

Achim Zeileis Achim.Zeileis at uibk.ac.at
Tue Apr 15 09:07:54 CEST 2014

On Mon, 14 Apr 2014, ChrisR wrote:

> Hi everyone,
> I am using the hetglm() command from the package 'glmx' (0.1-0). It seems
> that hetglm() is incompatible with the robust standard errors estimator
> provided in the 'AER' package: coeftest(mymodel,vcov=vcovHC)
> Any suggestions how I could obtain robust standard errors for the
> heteroscedastic probit?


coeftest(mymodel, vcov = sandwich)

but the usual caveat applies that it is not quite clear what this is 
robust against. If the some aspect of the model likelihood is misspecified 
then the estimating equations are also misspecified and the estimator 
itself inconsistent. This is briefly pointed out at the end of the 
discussion in vignette("sandwich-OOP", package = "sandwich").

As for the difference between vcovHC() and sandwich():

- The HC1, HC2, HC3 methods from the vcovHC() function can only be applied 
if there is a linear predictor plus a useful measure of leverage etc. 
Thus, it cannot be applied to general heteroskedastic probit models (or it 
wouldn't be clear to me how...).

- The basic sandwich() estimator, however, can be applied easily. This 
uses just the so-called outer product of gradients. In the linear 
regression model it corresponds to the basic HC0 estimator.


> Thanks,
> Chris
> --
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