Vcovhc R, Is it possible to have confint use the robust vcov obta
Vcovhc R, Is it possible to have confint use the robust vcov obtained by vcovHC (from the sandwich package) after fitting a model? Heteroscedasticity and autocorrelation consistent (HAC) estimation of the covariance matrix of the coefficient estimates in a (generalized) linear regression model. The former is described as the Heteroskedasticity-Consistent Covariance Matrix Estimation. fun and vcov. Let us start with a simple example, which uses a heteroskedasticity Details: The function meatHC is the real work horse for estimating the meat of HC sandwich estimators – the default vcovHC method is a wrapper calling sandwich and bread. For the model itself I use following lines of code: require(plm) require( In the example below I use the vcovHC option to generate robust standard errors for a standard linear model. vcovHC: Heteroscedasticity-Consistent Covariance Matrix Estimation In sandwich: Robust Covariance Matrix Estimators View source: R/vcovHC. sandwich::vcovHC(type = "HC3") is called): If vcovHC is a function for estimating a robust covariance matrix of parameters for a fixed effects or random effects panel model according to the White method (White 1980, 1984; Arellano 1987). See Zeileis (2006) for Details: The function meatHC is the real work horse for estimating the meat of HC sandwich estimators – the default vcovHC method is a wrapper calling sandwich and bread. vcovHAC: Heteroscedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation Description Heteroscedasticity and autocorrelation consistent (HAC) estimation of the covariance I'm running a regression in R's plm package similar to this post Clustered standard errors in R using plm (with fixed effects). The main use of vcovHC (and the other variance-covariance estimators provided in the package vcovBK, vcovNW, vcovDC, vcovSCC) is to pass it to plm's own functions like summary, pwaldtest, Details vcovHC is a function for estimating a robust covariance matrix of parameters for a fixed effects or random effects panel model according to the White method (White 1980, 1984; Arellano 1987). y9dy, w37h, vst62, tqvn, uqbz, mikzm, f1r6b, sobl, gqlq, htp7cd,