Heteroscedasticity-Corrected Covariance Matrices
Calculates heteroscedasticity-corrected covariance matrices linear models fit by least squares or weighted least squares. These are also called “White-corrected” or “White-Huber” covariance matrices.
hccm(model, ...)
## S3 method for class 'lm'
hccm(model, type=c("hc3", "hc0", "hc1", "hc2", "hc4"),
singular.ok=TRUE, ...)
## Default S3 method:
hccm(model, ...)model |
a unweighted or weighted linear model, produced by |
type |
one of |
singular.ok |
if |
... |
arguments to pass to |
The original White-corrected coefficient covariance matrix ("hc0") for an unweighted model is
V(b) = inv(X'X) X' diag(e^2) X inv(X'X)
where e^2 are the squared residuals, and X is the model matrix. The other methods represent adjustments to this formula. If there are weights, these are incorporated in the corrected covariance matrix.
The function hccm.default simply catches non-lm objects.
The heteroscedasticity-corrected covariance matrix for the model.
John Fox jfox@mcmaster.ca
Fox, J. (2016) Applied Regression Analysis and Generalized Linear Models, Third Edition. Sage.
Fox, J. and Weisberg, S. (2019) An R Companion to Applied Regression, Third Edition, Sage.
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 heteroskedastic consistent covariance matrix estimator and a direct test of heteroskedasticity. Econometrica 48, 817–838.
options(digits=4) mod<-lm(interlocks~assets+nation, data=Ornstein) vcov(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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