hcc: Heteroskedasticity Corrected Covariance Matrix

In desk: Didactic Econometrics Starter Kit

Heteroskedasticity Corrected Covariance Matrix

Description

Calculates Whites (1980) heteroskedasticity corrected covariance matrix in a linear model.

Usage

hcc(mod, data = list(), digits = 4)

Arguments

mod	estimated linear model object or formula.
data	if mod is a formula then the corresponding data frame has to be specified.
digits	number of decimal digits in rounded values.

Value

The heteroskedasticity corrected covariance matrix.

References

White, H. (1980): A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 48, 817-838.

See Also

wh.test, bptest.

Examples

rent.est <- ols(rent ~ dist, data = data.rent)
hcc(rent.est)

hcc(wage ~ educ + age, data = data.wage)

desk documentation built on May 29, 2024, 6:05 a.m.