hcc | R Documentation |
Calculates Whites (1980) heteroskedasticity corrected covariance matrix in a linear model.
hcc(mod, data = list(), digits = 4)
mod |
estimated linear model object or formula. |
data |
if |
digits |
number of decimal digits in rounded values. |
The heteroskedasticity corrected covariance matrix.
White, H. (1980): A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 48, 817-838.
wh.test
, bptest
.
rent.est <- ols(rent ~ dist, data = data.rent)
hcc(rent.est)
hcc(wage ~ educ + age, data = data.wage)
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