Re: [R] robust standard error of an estimator

2011-01-01 Thread Frank Harrell
Is the (non-clustered) sandwich estimator really robust to autocorrelation? Thanks Frank - Frank Harrell Department of Biostatistics, Vanderbilt University -- View this message in context: http://r.789695.n4.nabble.com/robust-standard-error-of-an-estimator-tp3170257p3170363.html Sent from t

Re: [R] robust standard error of an estimator

2011-01-01 Thread Andrew Miles
It depends on what you mean by "robust." Robust to what? I recommend looking at the sandwich package which gives heteroskedasticity and autocorrelation robust variance/covariance matrices. For instance, you could do the following to get your OLS estimates with heteroskedasticity consistent

[R] robust standard error of an estimator

2011-01-01 Thread Charlène Cosandier
Hi, I have ove the robust standard error of an estimator but I don't know how to do this. The code for my regression is the following: reg<-lm(fsn~lctot) But then what do I need to do? -- Charlène Lisa Cosandier [[alternative HTML version deleted]] _