[R] Robust standard error

[Enrico Schumann]

On Sun, 02 Oct 2022, Bert Gunter writes:

> On Sun, Oct 2, 2022 at 6:42 AM Simone Mascia <masciasimone99 using gmail.com>
> wrote:
>
>> Is there a way to estimate Robust standard errors when using a nls()
>> function? I'm trying to fit some data to a complicated model and everything
>> works fine with nls() but I also wanted to obtain a robust estimate of my
>> errors.
>>
>> I tried "coeftest(m, vcov=sandwich)" and it seems to work, but so does
>> "coeftest(m, vcov = NeweyWest(m, lag = 4))" or "coeftest(m, vcov =
>> kernHAC(m, kernel = "Bartlett", bw = 5, prewhite = FALSE, adjust =
>> FALSE))". They return different error estimates so I wanted you to help me
>> understand what I should do, if I'm doing something wrong and other stuff.
>>
>> Thank you
>>
>
> You may get a helpful response here, but generally speaking, this list is
> about R **programming**, and statistical issues/tutorials are off topic.
> You might try
> https://stackoverflow.com/questions/tagged/statistics
> if you don't get adequate help here.
>
> -- Bert
>

Additionally, there is also
https://stat.ethz.ch/mailman/listinfo/R-sig-Robust .

-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net