robust_HC0: Heteroskedasticity-Robust Variance-Covariance Matrix...

In baruuum/jars: Just Another Robust Standard errors package

Description

Heteroskedasticity-Robust Variance-Covariance Matrix Estimator (HC0)

Usage

robust_HC0(X, e)

Arguments

X	the model matrix. Can be obtained by applying the function model.matrix on a lm object.
e	vector of residuals. Can be obtained by applying the function resid on a lm object.

Details

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.

Value

returns a heteroskedasticity-robust variance-covariance matrix of type HC0.

baruuum/jars documentation built on Nov. 3, 2019, 2:06 p.m.