modelCorrectSE: Calculates White (1980)'s heteroscedascity-corrected SEs and...

In lmSupport: Support for Linear Models

Description

Calculates heteroscedascity-corrected SEs and associated tests for regression coefficients based on method described by White (1980) using hccm() from car package. Prints tables with orginal and corrected results and returns corrected coefficient table

Usage

modelCorrectSE(Model, Digits=3)

Arguments

Model	an unweighted linear model, produced by lm.
Digits	digits to print in table output. Default =3

Value

Returns the lm coefficients table with corrected SEs and associated tests

Author(s)

John J. Curtin [e-mail]

References

Fox, J. (2008). Applied Regression Analysis and Generalized Linear Models, Second Edition. Sage.

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

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 heteroskedasicity. Econometrica, 48, 817-838.

See Also

hccm() in car package

Examples

##NOT RUN
##m = lm(FPS~BAC+TA, data=BAC)
##modelCorrectSE(m)

Example output

lmSupport documentation built on May 2, 2019, 2:14 p.m.