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
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
]
On
Behalf Of Kishore
Sent: February-10-09 9:19 AM
To: r-help@r-project.org; r-h...@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
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
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