summarySandwich {RcmdrMisc} | R Documentation |
Linear Model Summary with Sandwich Standard Errors
Description
summarySandwich
creates a summary of a "lm"
object similar to the standard one,
with sandwich estimates of the coefficient standard errors in the place of the usual OLS standard errors,
also modifying as a consequence the reported t-tests and p-values for the coefficients.
Standard errors may be computed from a heteroscedasticity-consistent ("HC") covariance matrix for the
coefficients (of several varieties), or from a heteroscedasticity-and-autocorrelation-consistent ("HAC") covariance matrix.
Usage
summarySandwich(model, ...)
## S3 method for class 'lm'
summarySandwich(model,
type=c("hc3", "hc0", "hc1", "hc2", "hc4", "hac"), ...)
Arguments
model |
a linear-model object. |
type |
type of sandwich standard errors to be computed; see |
... |
arguments to be passed to |
Value
an object of class "summary.lm"
, with sandwich standard errors substituted for the
usual OLS standard errors; the omnibus F-test is similarly adjusted.
Author(s)
John Fox jfox@mcmaster.ca
See Also
Examples
mod <- lm(prestige ~ income + education + type, data=Prestige)
summary(mod)
summarySandwich(mod)