Description Usage Arguments Details Value
Heteroskedasticity-Robust Variance-Covariance Matrix Estimator (HC0)
1 | robust_HC0(X, e)
|
X |
the model matrix. Can be obtained by applying the function |
e |
vector of residuals. Can be obtained by applying the function |
The different types of robust estimators differ in their degrees-of-freedom corrections for finite sample bias. In the case of HC0, no corrections are made, so that the diagonal entries of the "meat" matrix, ω_i are given as
ω_i^2 = \hat{e}_{i}^2
where \hat e_i are the residuals of the model.
returns a heteroskedasticity-robust variance-covariance matrix of type HC0.
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