From: Achim Zeileis (zeileis@ci.tuwien.ac.at)
Date: Fri 22 Mar 2002 - 22:04:02 EST
Message-id: <3C9B0FA2.8454344D@ci.tuwien.ac.at>
Grant Farnsworth wrote:
>
> I am trying to compute the white heteroskedasticity-robust standard errors
> (also called the Huber standard errors) in a linear model, but I can't seem
> to find a function to do it. I know that the design library in S+ has
> something like this (robcov?), but I have not yet seen this library ported
> to R.
>
> Anyone know if there is already a function built into R to do this
> relatively simple job?
There are some version of heteroskedasticity consistent covariance
matrices in the "car" package in hccm() and in "strucchange" in covHC().
In particular both contain the White (1980) estimator as type "hc0" and
"HC" respectively.
Z
> Thanks,
> Grant
>
> ------------------------------------------------------
> Grant Verdell Farnsworth
> gvf@email.byu.edu
> http://thegrantman.freewebsites.com
> ------------------------------------------------------
>
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