or simultaneously estimate the coefficients and variance structure via nlme::gls and its 'weights' argument...
On Tue, Feb 10, 2009 at 7:57 AM, John Fox <[email protected]> wrote: > Dear Kishore, > > Yes, White's heteroscedasticity-consistent standard errors are just that -- > standard errors for the OLS coefficients that are consistent in the presence > of heteroscedasticity. The coefficients themselves don't change. There is an > issue here: although the standard errors and OLS coefficients are > consistent, the OLS estimates lose efficiency. If you know that pattern of > heteroscedasticity, then you might get more efficient estimates by taking it > into account, e.g., in weighted-least-squares regression, or, if the > residual spread increases with the fitted values, by transforming the > response. > > I hope this helps, > John > > ------------------------------ > John Fox, Professor > Department of Sociology > McMaster University > Hamilton, Ontario, Canada > web: socserv.mcmaster.ca/jfox > > >> -----Original Message----- >> From: [email protected] [mailto:[email protected]] > On >> Behalf Of Kishore >> Sent: February-10-09 9:19 AM >> To: [email protected]; [email protected] >> 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. 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 from here I didn't understand how to plot the >> residuals (or) how to correct the estimates?? Can some one direct me in >> this regard.. >> >> Best, >> >> Kishore/.. >> http://kaykayatisb.blogspot.com >> >> [[alternative HTML version deleted]] >> >> ______________________________________________ >> [email protected] mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
