Yoseph,
What do you mean by 'incorporate into'? If you mean to update the fit
object's variance-covariance matrix, one approach might be
require(rms)
ols1 <- ols(uer92 ~ ..., x=TRUE, y=TRUE)
ols1 <- robcov(ols1)
anova(ols1); summary(ols1); ... # uses 'robust' variances&covariances
You can substitute bootcov for robcov to use bootstrap estimates rather
than Huber-White sandwich estimates. Note that coefficients are unchanged.
Please provide your affiliation in e-mail postings.
Frank
Yoseph Zuback wrote:
Using hccm() I got a heteroscedasticity correction factor on the diagonal of
the return matrix, but I don't know how to incorporate this into my linear
model:
METHOD 1:
OLS1 <- lm(formula=uer92~uer+low2+mlo+spec+degree+hit)
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0623377 0.0323461 -1.927 0.057217 .
uer 0.2274742 0.0758720 2.998 0.003541 **
low2 0.0276404 0.0375770 0.736 0.463973
mlo 0.1491490 0.0940637 1.586 0.116455
spec -0.1139978 0.0312223 -3.651 0.000445 ***
degree 0.0014694 0.0005316 2.764 0.006970 **
hit -0.0164365 0.0186028 -0.884 0.379376
hccm(OLS1)
(Intercept) uer low2 mlo
spec
(Intercept) 9.057187e-04 -1.330377e-03 -3.486945e-05 2.184561e-04
-4.061445e-04
uer -1.330377e-03 5.471543e-03 3.513046e-04 -4.294427e-04
1.629196e-03
low2 -3.486945e-05 3.513046e-04 1.378587e-03 1.241245e-04
-5.026434e-05
mlo 2.184561e-04 -4.294427e-04 1.241245e-04 9.796132e-03
-1.059611e-03
spec -4.061445e-04 1.629196e-03 -5.026434e-05 -1.059611e-03
9.777099e-04
degree 9.638288e-07 -2.907824e-05 -1.093692e-05 -1.867397e-05
-8.212461e-06
hit -3.299600e-04 -2.242984e-04 1.036364e-04 -8.158489e-04
3.994951e-05
degree hit
(Intercept) 9.638288e-07 -3.299600e-04
uer -2.907824e-05 -2.242984e-04
low2 -1.093692e-05 1.036364e-04
mlo -1.867397e-05 -8.158489e-04
spec -8.212461e-06 3.994951e-05
degree 3.485174e-07 4.256330e-06
hit 4.256330e-06 4.154505e-04
I have reached my limit of R knowledge, any help is appreciated.
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--
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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