On Mon, 25 Jul 2011, E Hofstadler wrote:
Hello there,
I have a linear regression model for which I estimated
heteroskedasticity-robust (Huber-White) standard errors using the
coeftest function
in the lmtest-package.
Now I would like to inspect the predicted values of the dependent
variable for particular groups and include a confidence interval for
this prediction.
My question: is it possible to estimate confidence intervals for the
values predicted by a model with heteroskedasticity-robust standard
errors? The usual predict() function doesn't accept the objects
of class "coef" returned by coeftest.
coeftest() returns objects of class "coeftest" and these do not contain
enough information to do predictions of the response in any model.
I'm not sure actually whether what I'm trying to do is statistically
meaningful, so any general advice is welcome.
My feeling is that it is not meaningful. The whole sandwich idea is that
you can get a consistent estimate of the standard errors of the
coefficient estimates - without specifying the standard errors (or even
the whole likelihood) of the disturbances in the model. For
observation-wise interval prediction, however, I think that you need some
specification of the variance of the disturbances.
hth,
Z
Regards,
Esther
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