Hi Frank, I'm trying to repair heteroscedastic variables using the hccm. A statistician in my department gave an incomplete solution that included:
OLS1$coefficients/(sqrt(hccm(OLS1))) Trying to solve my problem I get different results with the method you gave me and what I am trying with the code above. Lost. Appreciate your help, Thank you, Y 2009/12/2 Frank E Harrell Jr <f.harr...@vanderbilt.edu> > Yoseph, > > What do you mean by 'incorporate into'? If you mean to update the fit > object's variance-covariance matrix, one approach might be > > require(rms) > ols1 <- ols(uer92 ~ ..., x=TRUE, y=TRUE) > ols1 <- robcov(ols1) > anova(ols1); summary(ols1); ... # uses 'robust' variances&covariances > > You can substitute bootcov for robcov to use bootstrap estimates rather > than Huber-White sandwich estimates. Note that coefficients are unchanged. > > Please provide your affiliation in e-mail postings. > > Frank > > > Yoseph Zuback wrote: > >> Using hccm() I got a heteroscedasticity correction factor on the diagonal >> of >> the return matrix, but I don't know how to incorporate this into my linear >> model: >> >> METHOD 1: >> >> OLS1 <- lm(formula=uer92~uer+low2+mlo+spec+degree+hit) >>> >> >> Coefficients: >> Estimate Std. Error t value Pr(>|t|) >> (Intercept) -0.0623377 0.0323461 -1.927 0.057217 . >> uer 0.2274742 0.0758720 2.998 0.003541 ** >> low2 0.0276404 0.0375770 0.736 0.463973 >> mlo 0.1491490 0.0940637 1.586 0.116455 >> spec -0.1139978 0.0312223 -3.651 0.000445 *** >> degree 0.0014694 0.0005316 2.764 0.006970 ** >> hit -0.0164365 0.0186028 -0.884 0.379376 >> >> hccm(OLS1) >>> >> (Intercept) uer low2 mlo >> spec >> (Intercept) 9.057187e-04 -1.330377e-03 -3.486945e-05 2.184561e-04 >> -4.061445e-04 >> uer -1.330377e-03 5.471543e-03 3.513046e-04 -4.294427e-04 >> 1.629196e-03 >> low2 -3.486945e-05 3.513046e-04 1.378587e-03 1.241245e-04 >> -5.026434e-05 >> mlo 2.184561e-04 -4.294427e-04 1.241245e-04 9.796132e-03 >> -1.059611e-03 >> spec -4.061445e-04 1.629196e-03 -5.026434e-05 -1.059611e-03 >> 9.777099e-04 >> degree 9.638288e-07 -2.907824e-05 -1.093692e-05 -1.867397e-05 >> -8.212461e-06 >> hit -3.299600e-04 -2.242984e-04 1.036364e-04 -8.158489e-04 >> 3.994951e-05 >> degree hit >> (Intercept) 9.638288e-07 -3.299600e-04 >> uer -2.907824e-05 -2.242984e-04 >> low2 -1.093692e-05 1.036364e-04 >> mlo -1.867397e-05 -8.158489e-04 >> spec -8.212461e-06 3.994951e-05 >> degree 3.485174e-07 4.256330e-06 >> hit 4.256330e-06 4.154505e-04 >> >> I have reached my limit of R knowledge, any help is appreciated. >> >> [[alternative HTML version deleted]] >> >> ______________________________________________ >> 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. >> >> > > -- > Frank E Harrell Jr Professor and Chair School of Medicine > Department of Biostatistics Vanderbilt University > [[alternative HTML version deleted]] ______________________________________________ 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.
