| hccm {car} | R Documentation |
Calculates heteroscedasticity-corrected covariance matrices for unweighted linear models. These are also called ``White-corrected'' covariance matrices.
hccm(model, ...)
## S3 method for class 'lm':
hccm(model, type=c("hc3", "hc0", "hc1", "hc2", "hc4"), ...)
## Default S3 method:
hccm(model, ...)
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 are described in Long and Ervin (2000); "hc4" is described in Cribari-Neto (2004). |
... |
arguments to pass to hccm.lm. |
The classical White-corrected coefficient covariance matrix ("hc0") 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.
The function hccm.default simply catches non-lm objects.
The heteroscedasticity-corrected covariance matrix for the model.
John Fox jfox@mcmaster.ca
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.
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