hccm
Heteroscedasticity-Corrected Covariance Matrices
Calculates heteroscedasticity-corrected covariance matrices for unweighted linear models. These are also called ``White-corrected'' covariance matrices.
- Keywords
- regression
Usage
hccm(model, ...)
## S3 method for class 'lm':
hccm(model, type=c("hc3", "hc0", "hc1", "hc2", "hc4"), ...)
## S3 method for class 'default':
hccm(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.
Details
The classical White-corrected coefficient covariance matrix ("hc0") is
$$V(b)=(X^{\prime }X)^{-1}X^{\prime }diag(e_{i}^{2})X(X^{\prime }X)^{-1}$$
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.
Value
- The heteroscedasticity-corrected covariance matrix for the model.
References
Cribari-Neto, F. (2004) Asymptotic inference under heteroskedasticity of unknown form. Computational Statistics and Data Analysis 45, 215--233. 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.
See Also
Examples
options(digits=4)
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