Re: [R] Huber-white cluster s.e. after optim?

From: Peter Muhlberger <pmuhl1848_at_gmail.com>
Date: Mon, 14 Apr 2008 10:10:31 -0500

Hi Achim: Thanks for the reply! I did notice that robcov() requires the X & Y and also a scores vector and that these are not readily available under fixed names or at all in output from such functions as systemfit and optim. I wonder if it would make sense to have a stop-gap function that would allow the user to specify ingredients needed to construct the sandwich from varying components available in such functions as systemfit or optim, assuming the ingredients are available? Wish I knew more about how sandwiches are constructed.

Incidentally, thanks again for putting in the symbolic method of specifying linear hypothesis tests. I have been using that extensively.

Cheers, Peter

On Mon, Apr 14, 2008 at 6:52 AM, Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at> wrote:
> On Thu, 10 Apr 2008, Peter Muhlberger wrote:
>
> This is on my wishlist for "sandwich" for a long time. Conceptually, it is
> quite straightforward, but I'm not quite sure how to implement it because
> AFAIK there is no unified way of extracting clustering information from
> fitted regression objects.
> Z
>
> > Peter
> >
> > _______



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