On Fri, 9 Nov 2007, David Kaplan wrote:
> 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")
I don't think this is true. My guess is that you are using Anova() from
package "car".
> 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?
Look at
vignette("sandwich", package = "sandwich")
which discusses various kinds of sandwich covariances (including HC3). You
can plug these into:
- coeftest() from package "lmtest": partial Wald tests for each
coefficients (as in the usual summary()),
- waldtest() from package "lmtest": Wald tests for nested models
(similar to anova())
- linear.hypothesis() from package "car": Wald tests for linear
hypotheses.
Best,
Z
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