confint_robust: The confint function adapted for vcovHC

In Greg: Regression Helper Functions

The confint function adapted for vcovHC

Description

The confint.lm uses the t-distribution as the default confidence interval estimator. When there is reason to believe that the normal distribution is violated an alternative approach using the vcovHC() may be more suitable.

Usage

confint_robust(
  object,
  parm,
  level = 0.95,
  HC_type = "HC3",
  t_distribution = FALSE,
  ...
)

Arguments

object	The regression model object, either an ols or lm object
parm	a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.
level	the confidence level required.
HC_type	See options for vcovHC()
t_distribution	A boolean for if the t-distribution should be used or not. Defaults to FALSE. According to Cribari-Nieto and Lima's study from 2009 this should not be the case.
...	Additional parameters that are passed on to vcovHC()

Value

matrix A matrix (or vector) with columns giving lower and upper confidence limits for each parameter. These will be labelled as (1-level)/2 and 1 - (1-level)/2 in

References

F. Cribari-Neto and M. da G. A. Lima, "Heteroskedasticity-consistent interval estimators", Journal of Statistical Computation and Simulation, vol. 79, no. 6, pp. 787-803, 2009.

Examples

n <- 50
x <- runif(n)
y <- x + rnorm(n)

fit <- lm(y~x)
library("sandwich")
confint_robust(fit, HC_type = "HC4m")

Greg documentation built on Nov. 16, 2022, 5:06 p.m.