summarySandwich: Linear Model Summary with Sandwich Standard Errors

In RcmdrMisc: R Commander Miscellaneous Functions

Linear Model Summary with Sandwich Standard Errors

Description

summarySandwich creates a summary of a "lm" object similar to the standard one, with sandwich estimates of the coefficient standard errors in the place of the usual OLS standard errors, also modifying as a consequence the reported t-tests and p-values for the coefficients. Standard errors may be computed from a heteroscedasticity-consistent ("HC") covariance matrix for the coefficients (of several varieties), or from a heteroscedasticity-and-autocorrelation-consistent ("HAC") covariance matrix.

Usage

summarySandwich(model, ...)
    
## S3 method for class 'lm'
summarySandwich(model, 
  type=c("hc3", "hc0", "hc1", "hc2", "hc4", "hac"), ...)

Arguments

model	a linear-model object.
type	type of sandwich standard errors to be computed; see hccm in the car package, and vcovHAC in the sandwich package, for details.
...	arguments to be passed to hccm or vcovHAC

Value

an object of class "summary.lm", with sandwich standard errors substituted for the usual OLS standard errors; the omnibus F-test is similarly adjusted.

Author(s)

John Fox [e-mail]

See Also

hccm, vcovHAC.

Examples

    mod <- lm(prestige ~ income + education + type, data=Prestige)
    summary(mod)
    summarySandwich(mod)

RcmdrMisc documentation built on Sept. 27, 2023, 1:06 a.m.