Using hccm() I got a heteroscedasticity correction factor on the diagonal of
the return matrix, but I don't know how to incorporate this into my linear
model:

METHOD 1:

> OLS1 <- lm(formula=uer92~uer+low2+mlo+spec+degree+hit)

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0623377  0.0323461  -1.927 0.057217 .
uer          0.2274742  0.0758720   2.998 0.003541 **
low2         0.0276404  0.0375770   0.736 0.463973
mlo          0.1491490  0.0940637   1.586 0.116455
spec        -0.1139978  0.0312223  -3.651 0.000445 ***
degree       0.0014694  0.0005316   2.764 0.006970 **
hit         -0.0164365  0.0186028  -0.884 0.379376

> hccm(OLS1)
              (Intercept)           uer          low2           mlo
spec
(Intercept)  9.057187e-04 -1.330377e-03 -3.486945e-05  2.184561e-04
-4.061445e-04
uer         -1.330377e-03  5.471543e-03  3.513046e-04 -4.294427e-04
1.629196e-03
low2        -3.486945e-05  3.513046e-04  1.378587e-03  1.241245e-04
-5.026434e-05
mlo          2.184561e-04 -4.294427e-04  1.241245e-04  9.796132e-03
-1.059611e-03
spec        -4.061445e-04  1.629196e-03 -5.026434e-05 -1.059611e-03
9.777099e-04
degree       9.638288e-07 -2.907824e-05 -1.093692e-05 -1.867397e-05
-8.212461e-06
hit         -3.299600e-04 -2.242984e-04  1.036364e-04 -8.158489e-04
3.994951e-05
                   degree           hit
(Intercept)  9.638288e-07 -3.299600e-04
uer         -2.907824e-05 -2.242984e-04
low2        -1.093692e-05  1.036364e-04
mlo         -1.867397e-05 -8.158489e-04
spec        -8.212461e-06  3.994951e-05
degree       3.485174e-07  4.256330e-06
hit          4.256330e-06  4.154505e-04

I have reached my limit of R knowledge, any help is appreciated.

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