Displaying 20 results from an estimated 5000 matches similar to: "function for linear regression with White std. errors"
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
2008 Sep 04
2
Correct for heteroscedasticity using car package
Dear all,
Sorry if this is too obvious.
I am trying to fit my multiple regression model using lm()
Before starting model simplification using step() I checked whether the
model presented heteroscedasticity with ncv.test() from the CAR package.
It presents it.
I want to correct for it, I used hccm() from the CAR package as well and
got the Heteroscedasticity-Corrected Covariance Matrix.
I am not
2006 Apr 16
1
Var.calc in Match()
Does anyone else find that using the Var.calc option (for
heteroscedasticity consistent std. errors) in Match() (from the
Matching library) slows down computation of the matching estimator by
a lot?
I don't really understand why when I use this option it slows down so
much, but for me it does significantly. I want to use the
heteroscedasticity consistent std. errors in my project, but as long
2003 Mar 24
2
Robust standard errors
I am trying to calculate robust standard errors for a logit model. I
installed the package "car" and tried using hccm.default, but that
required an lm object. Is there some way to do a similar operation for a
glm object?
x <- hccm.default(glm(winner ~ racebl + racehi + raceas + inchi + incmed +
edhs + edcol + edba + agec1 + agec4 + sex + margin + regla + regbay +
regsc +
2006 Feb 21
3
How to get around heteroscedasticity with non-linear leas t squares in R?
Your understanding isn't similar to mine. Mine says robust/resistant
methods are for data with heavy tails, not heteroscedasticity. The common
ways to approach heteroscedasticity are transformation and weighting. The
first is easy and usually quite effective for dose-response data. The
second is not much harder. Both can be done in R with nls().
Andy
From: Quin Wills
>
> I am
2006 Apr 13
1
number of matches when using Match()
To anyone who uses the Match() function in the Matching library...
How do you go about deciding how many matches you will use? With my
data, my standard errors generally get smaller if I use more matches.
Speaking of standard errors, when correcting for heteroscedasticity,
how many matches do you use (this is the Var.cal option). It seems to
me that it might make sense to use the same number
2009 Feb 10
2
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
2008 Jul 24
1
Parallel Processing and Linear Regression
Does anybody have any suggestions regarding applying standard regression
packages lm(), hccm(), and others within a parallel environment? Most of
the packages I've found only deal with iterative processes (bootstrap) or
simple linear algebra. While the latter might help, I'd rather not program
the estimation code. I'm currently using a IA-64 Teragrid system through UC
San Diego.
2012 Oct 13
2
White test
Hello,
Is there a way to perform a White test (testing heteroscedasticity) under R?
Best regards,
Afrae Hassouni
2006 Apr 07
4
saving estimates from a for loop for later use
Thanks to the help of many on this list, I am now an R user and have
been able to write some functioning code to do matching estimation.
I have two for loops (i in 1:3, and j in 0:2). Within the loops, I
had been creating matrices of relevant estimation coefficents in order
to make lots of LaTeX tables.
Well, now I want to be able to combine the results of many different
estimations from within
2005 Nov 03
1
Fitting heteroscedastic linear models/ problems with varIdent of nlme
Hi,
I would like to fit a model for a factorial design that allows for
unequal variances in all groups. If I am not mistaken, this can be done
in lm by specifying weights.
A function intended to specify weights for unequal variance structures
is provided in the nlme library with the varIdent function. Is it
apropriate to use these weights with lm? If not, is there another
possibility to do
2006 Jul 26
2
Codes; White's heteroscedasticity test and GARCH models
Hello,
I have just recently started using R and was wondering whether anybody had a code written for White's heteroscedasticity correction for standard errors.
Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean models for modelling regression residuals?
Thanks a lot in advance,
Spyros
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2017 Aug 16
4
{nlme} Question about modeling Level two heteroscedasticity in HLM
Hello dear uesRs,
I am working on modeling both level one and level two
heteroscedasticity in HLM. In my model, both error variance and
variance of random intercept / random slope are affected by some level
two variables.
I found that nlme is able to model heteroscedasticity. I learned how
to use it for level one heteroscedasticity but don't know how to use
it to model the level
2009 Oct 16
1
Breusch-pagan and white test - check homoscedasticity
Hi r-programmers,
I performe Breusch-Pagan tests (bptest in package lmtest) to check the
homoscedasticity of the residuals from a linear model and I carry out carry
out White's test via
bptest (formula, ~ x * z + I(x^2) + I(z^2)) include all regressors and the
squares/cross-products in the auxiliary regression.
But what can I do if I want find coefficient and p-values of variables x, z,
x*z,
2017 Aug 16
0
{nlme} Question about modeling Level two heteroscedasticity in HLM
If you don't get a response it is because you did not read the Posting Guide which indicates that the R-sig-ME mailing list is where this question would have been on-topic.
--
Sent from my phone. Please excuse my brevity.
On August 16, 2017 6:17:03 AM PDT, b88207001 at ntu.edu.tw wrote:
>Hello dear uesRs,
>
>I am working on modeling both level one and level two
2016 Apr 15
1
Heteroscedasticity in a percent-cover dataset
Hi,
I am currently trying to do a GLMM on a dataset with percent cover of
seagrass (dep. var) and a suite of explanatory variables including algal
(AC) and epiphyte cover (EC), rainfall, temperature and sunshine hours.
M2=glmer(SG~AC+EC+TP+SS+RF+(1|Location/fSi/fTr),
family=binomial,data=data,nAGQ=1)
As the dependent variable is percent cover, I used a binomial error
structure. I also have a
2017 Aug 16
0
{nlme} Question about modeling Level two heteroscedasticity in HLM
A better place for this post would be on R's mixed models list:
r-sig-mixed-models .
Cheers,
Bert
Bert Gunter
"The trouble with having an open mind is that people keep coming along
and sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )
On Wed, Aug 16, 2017 at 6:17 AM, <b88207001 at ntu.edu.tw> wrote:
> Hello dear
2002 Mar 22
3
heteroskedasticity-robust standard errors
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?
2006 Apr 14
2
another very simple loop question
I have a dataset with 4 years of students, and normally I want to
estimate things using each individual year, so I have a for loop as
follows
for (i in 1:4){}
However, the only way I know how to calculate estimates using all four
years of data is to put the estimations outside of the loop. Is there
anyway to make a for loop that uses all four years at once, then uses
each individual year?
2006 Apr 02
1
New R user looking from help
Dear R users,
I am trying to become a convert to R (from Stata), and I'm having some
growing pains. Is there anyone would be willing to answer a few basic
questions I have? Of course I am using the relevant help guides...
Thanks,
Brian Quinif
ps. If there is anyone at UGA on this list, I'd love to hear from someone local.