Displaying 1 result from an estimated 1 matches for "uer92".
2009 Dec 02
1
Incorporating the results of White's HCCM into a linear regression:
Using hccm() I got a heteroscedasticity correction factor on the diagonal of
the return matrix, but I don't know how to incorporate this into my linear
model:
METHOD 1:
> OLS1 <- lm(formula=uer92~uer+low2+mlo+spec+degree+hit)
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0623377 0.0323461 -1.927 0.057217 .
uer 0.2274742 0.0758720 2.998 0.003541 **
low2 0.0276404 0.0375770 0.736 0.463973
mlo 0.1491490 0.0940637 1.586...