Greg (version 1.2)

robcov_alt: Robust covariance matrix based upon the sandwich-package

Description

This is an alternative to the rms-package robust covariance matrix that uses the sandwich package vcovHC function instead of the rms-built-in estimator. The advantage being that many more estimation types are available.

Usage

robcov_alt(fit, type = "HC3", ...)

Arguments

fit

The ols fit that

type

a character string specifying the estimation type. See vcovHC for options.

...

You should specify type= followed by some of the alternative available for the vcovHC function.

Value

model The fitted model with adjusted variance and df.residual set to NULL

Examples

# Generate some data
n <- 500
x1 <- runif(n)*2
x2 <- runif(n)
y <- x1^3 + x2 + rnorm(n)

library(rms)
library(sandwich)
dd <- datadist(x1, x2, y)
org.op <- options(datadist = "dd")

# Main function
f    <- ols(y ~ rcs(x1, 3) + x2)

# Check the bread
bread(f)
# Check the HC-matrix
vcovHC(f, type="HC4m")
# Adjust the model so that it uses the HC4m variance
f_rob <- robcov_alt(f, type="HC4m")
# Get the new HC4m-matrix
# - this function just returns the f_rob$var matrix
vcov(f_rob)
# Now check the confidence interval for the function
confint(f_rob)

options(org.op)