hccm | R Documentation |

Calculates heteroscedasticity-corrected covariance matrices linear models fit by least squares or weighted least squares. These are also called “White-corrected” or “White-Huber” covariance matrices.

```
hccm(model, ...)
## S3 method for class 'lm'
hccm(model, type=c("hc3", "hc0", "hc1", "hc2", "hc4"),
singular.ok=TRUE, ...)
## Default S3 method:
hccm(model, ...)
```

`model` |
a unweighted or weighted linear model, produced by |

`type` |
one of |

`singular.ok` |
if |

`...` |
arguments to pass to |

The original White-corrected coefficient covariance matrix (`"hc0"`

) for an unweighted model is

`V(b)=(X^{\prime }X)^{-1}X^{\prime }diag(e_{i}^{2})X(X^{\prime }X)^{-1}`

where `e_{i}^{2}`

are the squared residuals, and `X`

is the model
matrix. The other methods represent adjustments to this formula. If there are weights, these are incorporated in the
corrected covariance matrix.

The function `hccm.default`

simply catches non-`lm`

objects.

See Freedman (2006) and Fox and Weisberg (2019, Sec. 5.1.2) for discussion of the use of these methods in generalized linear models or models with nonconstant variance.

The heteroscedasticity-corrected covariance matrix for the model.

The function will return an error, rather than a matrix, under two circumstances. First, if any of the cases have hatvalue (leverage) equal to one, then the corresponding fitted value will always equal the observed value. For types hc2, hc3 and hc4 the hccm matrix is undefined. For hc0 and hc1 it is defined but it can be shown to be singular, and therefore not a consistent estimate of the covariance matrix of the coefficient estimates. A singular estimate of the covariance matrix may also be obstained if the matrix `X`

is ill-conditioned. In this latter case rescaling the model matrix may give a full-rank estimate.

John Fox jfox@mcmaster.ca

Cribari-Neto, F. (2004)
Asymptotic inference under heteroskedasticity of unknown form.
*Computational Statistics and Data Analysis* **45**, 215–233.

Fox, J. (2016)
*Applied Regression Analysis and Generalized Linear Models*,
Third Edition. Sage.

Fox, J. and Weisberg, S. (2019)
*An R Companion to Applied Regression*, Third Edition, Sage.

Freedman, D. (2006)
On the so-called "Huber sandwich estimator" and "robust standard errors",
*American Statistician*, **60**, 299–302.

Long, J. S. and Ervin, L. H. (2000)
Using heteroscedasity consistent standard errors in the linear regression model.
*The American Statistician* **54**, 217–224.

White, H. (1980)
A heteroskedastic consistent covariance matrix estimator and a direct test of heteroskedasticity.
*Econometrica* **48**, 817–838.

```
mod <- lm(interlocks ~ assets + nation, data=Ornstein)
print(vcov(mod), digits=4)
## (Intercept) assets nationOTH nationUK nationUS
## (Intercept) 1.079e+00 -1.588e-05 -1.037e+00 -1.057e+00 -1.032e+00
## assets -1.588e-05 1.642e-09 1.155e-05 1.362e-05 1.109e-05
## nationOTH -1.037e+00 1.155e-05 7.019e+00 1.021e+00 1.003e+00
## nationUK -1.057e+00 1.362e-05 1.021e+00 7.405e+00 1.017e+00
## nationUS -1.032e+00 1.109e-05 1.003e+00 1.017e+00 2.128e+00
print(hccm(mod), digits=4)
## (Intercept) assets nationOTH nationUK nationUS
## (Intercept) 1.664e+00 -3.957e-05 -1.569e+00 -1.611e+00 -1.572e+00
## assets -3.957e-05 6.752e-09 2.275e-05 3.051e-05 2.231e-05
## nationOTH -1.569e+00 2.275e-05 8.209e+00 1.539e+00 1.520e+00
## nationUK -1.611e+00 3.051e-05 1.539e+00 4.476e+00 1.543e+00
## nationUS -1.572e+00 2.231e-05 1.520e+00 1.543e+00 1.946e+00
```

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.