Displaying 1 result from an estimated 1 matches for "addheteroskedasticity".
2006 Dec 27
2
proposal: allowing alternative variance estimators in glm/lm
There has been recent discussion about alternatives to the model-based
standard error estimators for lm. While some people like the sandwich
estimator and others don't, it is clear that neither estimator dominates
the other for any sane loss function. It is also worth noting that the
sandwich estimator is the default for t.test().
I think it would be useful for models using other