# R/hccm.R In car: Companion to Applied Regression

#### Documented in hccmhccm.default

```#-------------------------------------------------------------------------------
# Revision history:
# 2009-09-16: optionally allow models with aliased coefficients J. Fox
# 2012-04-04: modified to allow weighted linear models. J. Fox
# 2020-06-25: Fix bug in hccm.lm() when model matrix includes just one column
#             (reported by Justin Yap). J. Fox
# 2021-07-29: Report error when any hatvalue = 1 for all but hc0 and hc1
#             (following report of problem reported by Peng Ding) J. Fox
#-------------------------------------------------------------------------------

# Heteroscedasticity-corrected standard errors (Huber/White adjustment) (J. Fox)

hccm <- function(model, ...){
UseMethod("hccm")
}

hccm.lm <-function (model, type = c("hc3", "hc0", "hc1", "hc2", "hc4"),
singular.ok = TRUE, ...) {
e <- na.omit(residuals(model))
removed <- attr(e, "na.action")
wts <- if (is.null(weights(model))) 1
else weights(model)
type <- match.arg(type)
if (any(aliased <- is.na(coef(model))) && !singular.ok)
stop("there are aliased coefficients in the model")
sumry <- summary(model, corr = FALSE)
s2 <- sumry\$sigma^2
V <- sumry\$cov.unscaled
if (type == FALSE)
return(s2 * V)
h <- hatvalues(model)
if (!is.null(removed)){
wts <- wts[-removed]
h <- h[-removed]
}
X <- model.matrix(model)[, !aliased, drop=FALSE]
df.res <- df.residual(model)
n <- length(e)
e <- wts*e
p <- ncol(X)
factor <- switch(type, hc0 = 1, hc1 = df.res/n,
hc2 = 1 - h, hc3 = (1 - h)^2, hc4 = (1 - h)^pmin(4, n * h/p))
V <- V %*% t(X) %*% apply(X, 2, "*", (e^2)/factor) %*% V
bad <- h > 1 - sqrt(.Machine\$double.eps)
if ((n.bad <- sum(bad)) > 0 && !(type %in% c("hc0", "hc1"))) {
nms <- names(e)
} else {
}
if (any(is.nan(V))){
stop("cannot proceed because of ", n.bad, if (n.bad == 1) " case " else " cases ",
"with hatvalue = 1:\n   ", bads)
} else {
if (n.bad == 1) " case " else " cases ",
"with hatvalue near 1:\n   ", bads)
}
}
V
}

hccm.default<-function(model, ...){
stop("requires an lm object")
}
```

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car documentation built on Nov. 6, 2021, 9:06 a.m.