similar to: Heteroskedasticity in R

R-help Digest wrote: > ------------------------------ > > Date: Thu, 07 Dec 2000 18:28:09 +0100 > From: Uwe Ligges <ligges at statistik.uni-dortmund.de> > Subject: Re: [R] Heteroskedasticity in R > > Vincent Leycuras wrote: > > > > Hi all, > > > > I just discovered R a couple of days ago and I must say it rocks. I've been > > looking

Hello Is there any function to calculate White's standard errors in R in an NLS regression. The sandwich and car package do it but they need an lm object to calculate the error's. Does anyone have idea how to do it for an NLS object ? Regards The woods are lovely, dark and deep But I have promises to keep And miles before I go to sleep And miles before I go to sleep ----- [[alternative

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

I am trying to compute the white heteroskedasticity-robust standard errors (also called the Huber standard errors) in a linear model, but I can't seem to find a function to do it. I know that the design library in S+ has something like this (robcov?), but I have not yet seen this library ported to R. Anyone know if there is already a function built into R to do this relatively simple job?

Hi, I'm dealing with time series. I usually use stl() to estimate trend, stagionality and residuals. I test for normality of residuals using shapiro.test(), but I can't test for autocorrelation and heteroskedasticity. Is there a way to perform Durbin-Watson test and Breusch-Pagan test (or other simalar tests) for time series? I find dwtest() and bptest() in the package lmtest, but it

Hello there, I have a linear regression model for which I estimated heteroskedasticity-robust (Huber-White) standard errors using the coeftest function in the lmtest-package. Now I would like to inspect the predicted values of the dependent variable for particular groups and include a confidence interval for this prediction. My question: is it possible to estimate confidence intervals for the

Dear all, Trying to test for heteroskedasticity I tried several test from the car package respectively lmtest. Now that they produce rather different results i am somewhat clueless how to deal with it. Here is what I did: 1. I plotted fitted.values vs residuals and somewhat intuitively believe, it isn't really increasing... 2. further I ran the following tests bptest (studentized

Hello, I've had no luck finding an R package that has the ability to estimate a Tobit model allowing for heteroskedasticity (multiplicative, for example). Am I missing something in survReg? Is there another package that I'm unaware of? Is there an add-on package that will test for heteroskedasticity? Thanks for your help. Cheers, Alan Spearot -- Alan Spearot Department of Economics

Hi all, It seems that I can get White's (HC3) test using MASS. The syntax I used for the particular problem is anova(scireg3, white.adjust="hc3") where scireg3 is an object from the lm function. But, the anova summary table is all I get. I don't get the new estimates or standard errors correcting for heteroskedasticity. Is there a way to get that information? Thanks

Hi, I'm using maxlik with functions specified (L, his gradient & hessian). Now I would like determine some robust standard errors of my estimators. So I 'm try to use vcovHC, or hccm or robcov for example but in use one of them with my result of maxlik, I've a the following error message : Erreur dans terms.default(object) : no terms component Is there some attributes

Hey Guys, i want to do a CAPM-GARCH model. I didn?t find anything posted online. (If there is something - shame on me - i didn?t find it.) My Problem: What is the difference if I let the residuals ?e? follow a garch process ? How do I do my regression analysis now? I began reading about regression analyis with heteroscedasticity, but didn?t get it. So i started programming. First

Hi all, Does anyone know how to report heteroskedasticity and autocorrelation-consistent standard errors when using the "spm" command in SemiPar package? Suppose the original command is sp1<-spm(y~x1+x2+f(x3), random=~1,group=id) Any suggestion would be greatly appreciated. Thanks, Susan [[alternative HTML version deleted]]

I just corrected std.error of my 'model'(Multi Regression). Then how can I get new t and p-values? Isn't there any R command which shows new t and p values? -- View this message in context: http://r.789695.n4.nabble.com/After-heteroskedasticity-correction-how-can-I-get-new-confidential-interval-tp3095643p3095643.html Sent from the R help mailing list archive at Nabble.com.

Hi all, I'm getting contradictory results from bptest and ncvTest on a model calculated by GLS as: olslm = lm(log(rr)~log(aloi)*reg*inv, data) varlm = lm(I(residuals(olslm)^2)~log(aloi)*reg*inv, data) glslm = lm(log(rr)~log(aloi)*reg*inv, data, weights=1/fitted(varlm)) Testing both olslm and glslm with both ncvTest and bptest gives: > ncvTest(olslm) Non-constant Variance Score Test

Hello I haev some .csv data files with missing values - eg below 1,'F','C04','X100',20.93,'C','B',7,8,7.5,2421,2230,2230,2,1,85,43,85,46,48,60 If I have a missing value - so file looks like ,85,46,,48, etc then RSQLite reads it as zero. ,85,46,0,48, etc I need it read it as NA. Tried various combinations with no success, adn found nothing on help site.

Hi, I have a problem installing SystemVision from MentorGraphics in wine. The problem is with the packaged Java Runtime 1.3.1. The error output when installing is: Exception in thread "main" java.lang.ExceptionInInitializerError: java.lang.RuntimeException: Unable to create a suitable default GraphicsConfiguration. Try changing your Display Settings. at

Dear anybody I am running Fedora Core 6 with the latest version of R. When I try to install the package RMySQL I get this message: * Installing *source* package 'RMySQL' ... creating cache ./config.cache checking how to run the C preprocessor... /lib/cpp checking for compress in -lz... no checking for getopt_long in -lc... no checking for

I posted this the other day... but it didn't get delivered... ------------------------------------------------------------------- I'm getting stuck into a theora decoder for directshow... i was just wondering if someone could give me some info. What output format does theora use ? http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnwmt/html/YUVFormats.asp

I''m searching for code analysing tools for Ruby (on Rails). I know some tools for Java and DotNet but I can''t seem to find much for Ruby. Things I''m interested in are metrics like coupling (fan-in, fan-out), complexity (McCabe), inheritance nesting levels etc. The only tools I found so far are saikuro(only mccabe) and kwala (seems like a frontend for saikuro) If you

Hello everyone, I'm working on a current linear model Y = a0 + a1* X1 + ... + a7*X7 + residuals. And I know that this model presents both heteroskedasticity (tried Breusch-Pagan test and White test) and residuals autocorrelation (using Durbin Watson test). Ultimately, this model being meant to be used for predictions, I would like to be able to remove this heteroskedasticity and residuals