hccm: Heteroscedasticity-Corrected Covariance Matrices

In car: Companion to Applied Regression

Description

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.

Usage

hccm(model, ...)

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

## Default S3 method:
hccm(model, ...)

Arguments

model	a unweighted or weighted linear model, produced by lm.
type	one of "hc0", "hc1", "hc2", "hc3", or "hc4"; the first of these gives the classic White correction. The "hc1", "hc2", and "hc3" corrections are described in Long and Ervin (2000); "hc4" is described in Cribari-Neto (2004).
singular.ok	if FALSE (the default is TRUE), a model with aliased coefficients produces an error; otherwise, the aliased coefficients are ignored in the coefficient covariance matrix that's returned.
...	arguments to pass to hccm.lm.

Details

The original White-corrected coefficient covariance matrix ("hc0") for an unweighted model is

V(b) = inv(X'X) X' diag(e^2) X inv(X'X)

where e^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.

Value

The heteroscedasticity-corrected covariance matrix for the model.

Author(s)

John Fox [e-mail]

References

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.

Examples

options(digits=4)
mod<-lm(interlocks~assets+nation, data=Ornstein)
vcov(mod)
##             (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
hccm(mod)             
##             (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

Example output

Loading required package: carData
            (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
            (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

car documentation built on June 27, 2021, 5:07 p.m.