Description Usage Arguments Details Value
Heteroskedasticity-Robust Variance-Covariance Matrix Estimator (HC1)
1 | robust_HC1(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 HC1, the diagonal entries of the "meat" matrix, ω_i are given as
ω_{i}^2 = \hat{e}_{i}^2 \Bigg( \frac{n}{n - k} \Bigg)
where \hat e_i are the residuals of the model, n is the sample size, and k is the number of predictors in the model.
returns a heteroskedasticity-robust variance-covariance matrix of type HC1.
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