robust_HC3: Heteroskedasticity-Robust Variance-Covariance Matrix...

In baruuum/jars: Just Another Robust Standard errors package

Description

Heteroskedasticity-Robust Variance-Covariance Matrix Estimator (HC3)

Usage

robust_HC3(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 HC3, the diagonal entries of the "meat" matrix, ω_i are given as

ω_i^2 = \frac{\hat e_i^2}{(1 - h_{ii})^2}

where \hat e_i are the residuals of the model and h_{ii} is the ith diagonal of the hat-matrix.

Value

returns a heteroskedasticity-robust variance-covariance matrix of type HC3.

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