On May 26, 2012, at 3:09 AM, Dunken wrote:
Hi!
I am working with a regression of a log-log model that suffers from
heteroskedasticity. I have calculated the "White standard errors". I
would
like to use these "White standard errors" in a RESET test instead of
the
originally OLS standard errors calculated by the regression. How can I
transform the covariance matrix of a model?
labmodel2 <- lm(formula = log(L) ~ log(W) + log(K) + log(Y),
data=labordat)
sumlabmodel2 <- summary(labmodel2)
sumlabmodel2
coeftest(labmodel2,vcov=vcovHC(labmodel2,type="HC0"
That is, I want to replace vcov with vcovHC in labmodel2 to perform
a RESET
test with the robust White standard errors.
Have your read? :
"Econometric Computing with HC and HAC Covariance Matrix Estimators",
Achim Zeileis
http://www.jstatsoft.org/v11/i10/
Can anyone help?
Thank you!
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