It depends on what you mean by "robust."  Robust to what?

I recommend looking at the sandwich package which gives  
heteroskedasticity and autocorrelation robust variance/covariance  
matrices.  For instance, you could do the following to get your OLS  
estimates with heteroskedasticity consistent SEs

library(sandwich)
library(lmtest)
reg=lm(fsn~lctot)
coeftest(reg, vcov=vcovHC(reg))

Or to get cluster robust SEs, check out this: people.su.se/~ma/ 
clustering.pdf

Hope that helps.

Andrew Miles


On Jan 1, 2011, at 10:09 AM, Charlčne Cosandier wrote:

> Hi,
>
> I have ove the robust standard error of an estimator but I don't  
> know how to
> do this.
> The code for my regression is the following:
> reg<-lm(fsn~lctot)
> But then what do I need to do?
>
> -- 
> Charlčne Lisa Cosandier
>
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>
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