car (version 0.8-4)

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"))

hccm.default(model, ...)

Arguments

model

an unweighted linear model, produced by lm.

type

one of "hc0", "hc1", "hc2", or "hc3"; the first of these gives the classic White correction. The others are described in Long and Ervin (2000).

Value

• The heteroscedasticity-corrected covariance matrix for the model.

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.

References

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

ncv.test, spread.level.plot

Examples

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)   1.4808521 -1.640e-05 -1.445e+00 -1.460e+00 -1.455e+00
## assets       -0.0000164  2.425e-09  1.079e-05  1.324e-05  1.161e-05
## nationOTH    -1.4451983  1.079e-05  6.743e+00  1.432e+00  1.430e+00
## nationUK     -1.4600207  1.324e-05  1.432e+00  3.722e+00  1.440e+00
## nationUS     -1.4550976  1.161e-05  1.430e+00  1.440e+00  1.840e+00