Dear all, Sorry if this is too obvious. I am trying to fit my multiple regression model using lm() Before starting model simplification using step() I checked whether the model presented heteroscedasticity with ncv.test() from the CAR package. It presents it.
I want to correct for it, I used hccm() from the CAR package as well and got the Heteroscedasticity-Corrected Covariance Matrix. I am not sure what am I supposed to do with the matrix. I guess I should run my model again telling it to use that matrix but I don't really find the parameter in lm() to tell R so. I guess it should be somewhere in weights? I would really appracite if you could show me how I would do it or recommend a text on how to correct heteroscedasticity with R. Many thanks. Roman Carrasco. ______________________________________________ R-help@r-project.org mailing list 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.
