Achim Zeileis wrote:
On Sat, 6 Mar 2010, David Winsemius wrote:
On Mar 5, 2010, at 11:54 PM, Patrick Shea wrote:
I'm trying to obtain the robust standard errors for a multinomial
ordered logit model:
mod6 <- lrm(wdlshea ~ initdesch + concap + capasst + qualrat +
terrain,data=full2)
The model is fine but when I try to get the RSE I get an error.
coeftest(mod6, vcov = vcovHAC(mod6))
Error in match.arg(type) :
'arg' should be one of ?ordinary?, ?score?, ?score.binary?,
?pearson?, ?deviance?, ?pseudo.dep?, ?partial?, ........etc.
I'm a novice R user and am not sure how to address this problem. I
have also tried to use alternatives (zelig, polr) but have had no
luck. Any assistance on generating RSE for a multinomial order logit
model would be appreciated
Have you loaded the library that contains the vcovHAC function?
That is in the "sandwich" package. However, I doubt that it makes sense
in this context. Using HAC covariances would imply that you have time
series data and want to correct for heteroskedasticity and
autocorrelation. I'm not even sure whether sandwich standard errors
would be terribly useful. Both would require that you correctly
specified the estimating functions of your proportional odds logistic
regression but misspecified a few other aspects of the remaining
likelihood. Not sure whether that can be obtained for an ordinal
multinomial response.
(And do you know whether coeftest works with Design/rms objects?)
It does (unlike its own summary function in some situations):
library("rms")
library("lmtest")
data("BankWages", package = "AER")
fm <- lrm(job ~ ., data = BankWages)
summary(fm)
coeftest(fm)
The reason why vcovHAC() or sandwich() do not work is that bread() and
estfun() methods would need to be available for "lrm" objects which is
currently not the case (dito for "polr" objects). In principle they
could be written, see
vignette("sandwich-OOP", package = "sandwich")
but as I said above I'm not sure whether it would be very useful.
Z
Excellent posts. I'll just add that the Huber-White sandwhich estimator
is obtain in the rms and Design packages by using the robcov function on
a fit object. You can also use the bootstrap with bootcov.
Frank
--
David Winsemius, MD
West Hartford, CT
______________________________________________
--
Frank E Harrell Jr Professor and Chairman School of Medicine
Department of Biostatistics Vanderbilt University
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