[R] Correct for heteroscedasticity using car package

[Achim Zeileis]

On Thu, 4 Sep 2008, Carrasco-Torrecilla, Roman R wrote:

> 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 sure what am I supposed to do with the matrix. I guess I should
> run my model again telling it to use that matrix but I don't really find
> the parameter in lm() to tell R so. I guess it should be somewhere in
> weights?

If you have a reasonable approximation of the pattern of 
heteroskedasticity, you can supply it in the "weights" argument to lm() 
and perform WLS.

hccm() on the other hand does not assume a particular pattern of 
heteroskedasticity (with the obvious advantages and disadvantages). You 
can easily employ it for inference based on Wald statistics. The 
"car" package provides linear.hypothesis() for this and the package 
"lmtest" provides functions coeftest() and waldtest().

> I would really appracite if you could show me how I would do it or
> recommend a text on how to correct heteroscedasticity with R.

The "sandwich" package which provides more flexible implementations of 
the estimators underlying hccm() as well as other estimators has
   vignette("sandwich", package = "sandwich")
with some background information and hands-on examples.

hth,
Z