[R] Heteroscedasticity consistent standard errors for Spatial error models

[Achim Zeileis]

On Thu, 7 Dec 2006, Samarasinghe, Oshadhi Erandika wrote:

> Hello,
>
> Could anyone please tell me how to estimate Heteroscedasticity
> Consistent standard errors for a Spatial error model? All the functions
> I have looked at only works for lm objects.

I assume that you looked also at the "sandwich" package: The methods there
do not only work for "lm" objects but are object-oriented, appropriate
methods are already provided for a range of different object classes. So,
in principle, you can plug in other models as well, potentially including
spatial models if appropriate methods are provided. See
  vignette("sandwich-OOP", package = "sandwich")

Disclaimer: I'm not sure whether the spatial structure of spatial models
will be appropriately captured by the class of estimators implemented in
"sandwich". But someone who knows spatial models and their HC covariances
should be able to figure that out from the vignette above. I'm also not
sure what specialized methods exist...

Best,
Z


> Thank you very much!
>
> - Oshadhi
>
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