[R] Help regarding White's Heteroscedasticity Correction

[Kingsford Jones]

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 <jfox at mcmaster.ca> 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: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
> On
>> Behalf Of Kishore
>> Sent: February-10-09 9:19 AM
>> To: r-help at r-project.org; r-help at 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 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]]
>>
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>
> ______________________________________________
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> and provide commented, minimal, self-contained, reproducible code.
>