R help - Apr 2006 - function for linear regression with White std. errors

I would like to know if there is a function that will run a linear
regression and report the White (heteroscedasticity consistent) std.
errors.

I've found the hccm() function in the car library, but that just gives
me the White covariance matrix.  I'd like to be able to see the White
std. errors without having to do much more work, if possible.

Thanks,

Brian

Dear Brian,

How about sqrt(diag(hccm(mod)))? If that's too onerous, then you could
define a function to do it, e.g.,

  wse <- function(mod) sqrt(diag(hccm(mod)))

and then enter wse(mod). If you want a more complete, table-like summary of
the model using White standard errors, then you could easily write a
function to provide that.

Regards,
 John

--------------------------------
John Fox
Department of Sociology
McMaster University
Hamilton, Ontario
Canada L8S 4M4
905-525-9140x23604
http://socserv.mcmaster.ca/jfox 
-------------------------------- 
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch 
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Brian Quinif
> Sent: Thursday, April 27, 2006 7:34 PM
> To: r-help at stat.math.ethz.ch
> Subject: [R] function for linear regression with White std. errors
> 
> I would like to know if there is a function that will run a 
> linear regression and report the White (heteroscedasticity 
> consistent) std.
> errors.
> 
> I've found the hccm() function in the car library, but that 
> just gives me the White covariance matrix.  I'd like to be 
> able to see the White std. errors without having to do much 
> more work, if possible.
> 
> Thanks,
> 
> Brian
> 
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