Many thanks for your feedback. If I get the code for the waldtest right I can calculate the Chi2 and the F statistic using waldtest(). Can I use the waldtest() without using bread()/ estfun()? That is, I estimate the logit regression using glm() e.g. logit<-glm(...) and insert logit into the waldtest() function.
Does that work to get chi2 under HAC standard errors? ________________________________________ From: Achim Zeileis <achim.zeil...@uibk.ac.at> Sent: 31 May 2016 13:18 To: T.Riedle Cc: r-help@r-project.org Subject: Re: [R] sandwich package: HAC estimators On Tue, 31 May 2016, T.Riedle wrote: > I understood. But how do I get the R2 an Chi2 of my logistic regression > under HAC standard errors? I would like to create a table with HAC SE > via e.g. stargazer(). > > Do I get these information by using the functions > > bread.lrm <- function(x, ...) vcov(x) * nobs(x) > estfun.lrm <- function(x, ...) residuals(x, "score")? > > Do I need to use the coeftest() in this case? The bread()/estfun() methods enable application of vcovHAC(), kernHAC(), NeweyWest(). This in turn enables the application of coeftest(), waldtest(), or linearHypothesis() with a suitable vcov argument. All of these give you different kinds of Wald tests with HAC covariances including marginal tests of individual coefficients (coeftest) or global tests of nested models (waldtest/linearHypothesis). The latter can serve as replacement for the "chi-squared test". For pseudo-R-squared values I'm not familiar with HAC-adjusted variants. And I'm not sure whether there is a LaTeX export solution that encompasses all of these aspects simultaneously. > ________________________________________ > From: R-help <r-help-boun...@r-project.org> on behalf of Achim Zeileis > <achim.zeil...@uibk.ac.at> > Sent: 31 May 2016 08:36 > To: Leonardo Ferreira Fontenelle > Cc: r-help@r-project.org > Subject: Re: [R] sandwich package: HAC estimators > > On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote: > >> Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu: >>> On Sat, 28 May 2016, T.Riedle wrote: >>>> I thought it would be useful to incorporate the HAC consistent >>>> covariance matrix into the logistic regression directly and generate an >>>> output of coefficients and the corresponding standard errors. Is there >>>> such a function in R? >>> >>> Not with HAC standard errors, I think. >> >> Don't glmrob() and summary.glmrob(), from robustbase, do that? > > No, they implement a different concept of robustness. See also > https://CRAN.R-project.org/view=Robust > > glmrob() implements GLMs that are "robust" or rather "resistant" to > outliers and other observations that do not come from the main model > equation. Instead of maximum likelihood (ML) estimation other estimation > techniques (along with corresponding covariances/standard errors) are > used. > > In contrast, the OP asked for HAC standard errors. The motivation for > these is that the main model equation does hold for all observations but > that the observations might be heteroskedastic and/or autocorrelated. In > this situation, ML estimation is still consistent (albeit not efficient) > but the covariance matrix estimate needs to be adjusted. > >> >> Leonardo Ferreira Fontenelle, MD, MPH >> >> ______________________________________________ >> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.