[R] Robust SE & Heteroskedasticity-consistent estimation
Achim.Zeileis at uibk.ac.at
Tue May 11 00:52:51 CEST 2010
On Mon, 10 May 2010, RATIARISON Eric wrote:
> I'm using maxlik with functions specified (L, his gradient & hessian).
> Now I would like determine some robust standard errors of my estimators.
> So I 'm try to use vcovHC, or hccm or robcov for example
> but in use one of them with my result of maxlik, I've a the following
> error message :
> Erreur dans terms.default(object) : no terms component
> Is there some attributes to give to maxlik objet for "fitting" the call
> of vcovHC?
This is discussed in
vignette("sandwich-OOP", package = "sandwich")
one of the vignettes accompanying the "sandwich" package that provides the
vcovHC() function. At the very least, you need an estfun() method which
extracts the gradient contributions per observation. Then you need a
bread() function, typically based on the observed Hessian. Then you can
compute the basic sandwich() estimators.
> Thank you
> [[alternative HTML version deleted]]
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