Description Usage Arguments Details Value
Robust Variance-Covariance Matrix Estimator (HC2)
1 | robust_HC2(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 HC2, the diagonal entries of the "meat" matrix, ω_i are given as
ω_i^2 = \frac{\hat e_i^2}{1 - h_{ii}}
where \hat e_i are the residuals of the model and h_{ii} is the ith diagonal of the hat-matrix.
returns a heteroskedasticity-robust variance-covariance matrix of type HC2.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.