hccm {car}R Documentation

Heteroscedasticity-Corrected Covariance Matrices

Description

Calculates heteroscedasticity-corrected covariance matrices for unweighted linear models. These are also called “White-corrected” or “White-Huber” covariance matrices.

Usage

hccm(model, ...)

## S3 method for class 'lm'
hccm(model, type=c("hc3", "hc0", "hc1", "hc2", "hc4"), 
	singular.ok=TRUE, ...)

## Default S3 method:
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 are described in Long and Ervin (2000); "hc4" is described in Cribari-Neto (2004).

singular.ok

if FALSE (the default is TRUE), a model with aliased coefficients produces an error; otherwise, the aliased coefficients are ignored in the coefficient covariance matrix that's returned.

...

arguments to pass to hccm.lm.

Details

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.

Value

The heteroscedasticity-corrected covariance matrix for the model.

Author(s)

John Fox jfox@mcmaster.ca

References

Fox, J. (2008) Applied Regression Analysis and Generalized Linear Models, Second Edition. Sage.

Fox, J. and Weisberg, S. (2011) An R Companion to Applied Regression, Second 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. http://www.jstor.org/stable/2685594

White, H. (1980) A heteroskedastic consistent covariance matrix estimator and a direct test of heteroskedasticity. Econometrica 48, 817–838.

Examples

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
[Package car version 2.0-12 Index]