confint_robust: The confint function adapted for vcovHC
Description
The confint.lm uses the t-distribution as the default
confidence interval estimator. When there is reason to believe that
the normal distribution is violated an alternative approach using
the vcovHC() may be more suitable.
matrix A matrix (or vector) with columns giving lower and
upper confidence limits for each parameter. These will be labelled as
(1-level)/2 and 1 - (1-level)/2 in
Arguments
object
The regression model object, either an ols or lm object
parm
a specification of which parameters are to be given
confidence intervals, either a vector of numbers or a vector of
names. If missing, all parameters are considered.
level
the confidence level required.
HC_type
See options for vcovHC()
t_distribution
A boolean for if the t-distribution should be used
or not. Defaults to FALSE. According to Cribari-Nieto and Lima's study from
2009 this should not be the case.
...
Additional parameters that are passed on to
vcovHC()
References
F. Cribari-Neto and M. da G. A. Lima,
"Heteroskedasticity-consistent interval estimators",
Journal of Statistical Computation and Simulation,
vol. 79, no. 6, pp. 787-803, 2009 (tools:::Rd_expr_doi("10.1080/00949650801935327"))