Arnab Dutta <arnab.killy <at> gmail.com> writes: > > Hi, > > In order to have robust standard errors in R, what would be the command > that can generate results similar to the "robust" option in STATA? I tried > using the "lmrob" command from the package "robustbase". With that, the > Adjusted R squared is quite different from the normal "lm" command. This > does not happen in STATA. Can anybody please enlighten me on this? > > -Regards > Arnab
I think you're looking for the sandwich package example(lm) library(sandwich) sqrt(diag(vcov(lm.D9))) sqrt(diag(vcovHAC(lm.D9))) (or see example(vcovHAC) ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
