R help - Feb 2009 - Help regarding White's Heteroscedasticity Correction

Hi
I am actually running the White test for correcting Heteroscedasticity.  I
used sandwich() & car(), however the output shows the updated t test of
coefficients, with revised Standard Errors, however the estimates remained
same.  My problem is that the residuals formed a pattern in the original
regression equation.  After running the White's test, I got some new
standard errors - but from here I didn't understand how to plot the
residuals (or) how to correct the estimates??  Can some one direct me in
this regard..

Best,

Kishore/..
http://kaykayatisb.blogspot.com

	[[alternative HTML version deleted]]

Generally in the presence of heteroskedasticity of unknown form OLS
produces consistent estimates of your regression coefficients. The
estimates of  standard errors are biased in the presence of
heteroskedasticity,  White's  procedure is a way of producing
consistent estimates of the standard errors.  It does not change the
estimates of the coefficients.  It does not change the residuals.

    Patterns in your residuals may show up as heteroskedasticity when
tested but they may be an indication of wrong functional form or of
missing variables or of some other form of misspecification.

Best Regards

John

2009/2/10 Kishore <gladikishore at gmail.com>:
> Hi
> I am actually running the White test for correcting Heteroscedasticity.  I
> used sandwich() & car(), however the output shows the updated t test of
> coefficients, with revised Standard Errors, however the estimates remained
> same.  My problem is that the residuals formed a pattern in the original
> regression equation.  After running the White's test, I got some new
> standard errors - but from here I didn't understand how to plot the
> residuals (or) how to correct the estimates??  Can some one direct me in
> this regard..
>
> Best,
>
> Kishore/..
> http://kaykayatisb.blogspot.com
>
>        [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>


-- 
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj at tcd.ie
mailto:frainj at gmail.com

Dear Kishore,

Yes, White's heteroscedasticity-consistent standard errors are just that --
standard errors for the OLS coefficients that are consistent in the presence
of heteroscedasticity. The coefficients themselves don't change. There is an
issue here: although the standard errors and OLS coefficients are
consistent, the OLS estimates lose efficiency. If you know that pattern of
heteroscedasticity, then you might get more efficient estimates by taking it
into account, e.g., in weighted-least-squares regression, or, if the
residual spread increases with the fitted values, by transforming the
response.

I hope this helps,
 John

------------------------------
John Fox, Professor
Department of Sociology
McMaster University
Hamilton, Ontario, Canada
web: socserv.mcmaster.ca/jfox

> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at
r-project.org]
On
> Behalf Of Kishore
> Sent: February-10-09 9:19 AM
> To: r-help at r-project.org; r-help at stat.math.ethz.ch
> Subject: [R] Help regarding White's Heteroscedasticity Correction
> 
> Hi
> I am actually running the White test for correcting Heteroscedasticity.  I
> used sandwich() & car(), however the output shows the updated t test of
> coefficients, with revised Standard Errors, however the estimates remained
> same.  My problem is that the residuals formed a pattern in the original
> regression equation.  After running the White's test, I got some new
> standard errors - but from here I didn't understand how to plot the
> residuals (or) how to correct the estimates??  Can some one direct me in
> this regard..
> 
> Best,
> 
> Kishore/..
> http://kaykayatisb.blogspot.com
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.