hccm: Heteroscedasticity-Corrected Covariance Matrices

Description

Calculates heteroscedasticity-corrected covariance matrices for unweighted linear models. These are also called ``White-corrected'' covariance matrices.

Usage

hccm(model, ...)

hccm.lm(model, type=c("hc3", "hc0", "hc1", "hc2", "hc4"), ...)

hccm.default(model, ...)

Arguments

model

an unweighted linear model, produced by lm.

type

one of "hc0", "hc1", "hc2", "hc3", or "hc4"; the first of these gives the classic White correction. The "hc1", "hc2", and "hc3" corrections a

...

arguments to pass to hccm.lm.

Value

The heteroscedasticity-corrected covariance matrix for the model.

Details

The classical White-corrected coefficient covariance matrix ("hc0") is

V (b) = (X^{'} X)^{- 1} X^{'} d i a g (e_{i}^{2}) X (X^{'} X)^{- 1}

where $e_{i}^{2}$ are the squared residuals, and $X$ is the model matrix. The other methods represent adjustments to this formula. The function hccm.default simply catches non-lm objects.

References

Cribari-Neto, F. (in press) Asymptotic inference under heteroskedasticity of unknown form. Computational Statistics and Data Analysis. Long, J. S. and Ervin, L. H. (2000) Using heteroscedasity consistent standard errors in the linear regression model. The American Statistician 54, 217--224. White, H. (1980) A heterskedastic consistent covariance matrix estimator and a direct test of heteroskedasticity. Econometrica 48, 817--838.

Examples

Run this code

options(digits=4)
data(Ornstein)
mod<-lm(interlocks~assets+nation, data=Ornstein)
Var(mod)
##             (Intercept)     assets  nationOTH   nationUK   nationUS
## (Intercept)   1.079e+00 -1.588e-05 -1.037e+00 -1.057e+00 -1.032e+00
## assets       -1.588e-05  1.642e-09  1.155e-05  1.362e-05  1.109e-05
## nationOTH    -1.037e+00  1.155e-05  7.019e+00  1.021e+00  1.003e+00
## nationUK     -1.057e+00  1.362e-05  1.021e+00  7.405e+00  1.017e+00
## nationUS     -1.032e+00  1.109e-05  1.003e+00  1.017e+00  2.128e+00
hccm(mod)             
##             (Intercept)     assets  nationOTH   nationUK   nationUS
## (Intercept)   1.664e+00 -3.957e-05 -1.569e+00 -1.611e+00 -1.572e+00
## assets       -3.957e-05  6.752e-09  2.275e-05  3.051e-05  2.231e-05
## nationOTH    -1.569e+00  2.275e-05  8.209e+00  1.539e+00  1.520e+00
## nationUK     -1.611e+00  3.051e-05  1.539e+00  4.476e+00  1.543e+00
## nationUS     -1.572e+00  2.231e-05  1.520e+00  1.543e+00  1.946e+00

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