RcmdrMisc: summarySandwich – R documentation

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summarySandwich

Linear Model Summary with Sandwich Standard Errors

Description

summarySandwich creates a summary of a "lm" object similar to the standard one, with sandwich estimates of the coefficient standard errors in the place of the usual OLS standard errors, also modifying as a consequence the reported t-tests and p-values for the coefficients. Standard errors may be computed from a heteroscedasticity-consistent ("HC") covariance matrix for the coefficients (of several varieties), or from a heteroscedasticity-and-autocorrelation-consistent ("HAC") covariance matrix.

Usage

summarySandwich(model, ...)
    
## S3 method for class 'lm'
summarySandwich(model, 
  type=c("hc3", "hc0", "hc1", "hc2", "hc4", "hac"), ...)

Arguments

`model`	a linear-model object.
`type`	type of sandwich standard errors to be computed; see `hccm` in the car package, and `vcovHAC` in the sandwich package, for details.
`...`	arguments to be passed to `hccm` or `vcovHAC`

Value

an object of class "summary.lm", with sandwich standard errors substituted for the usual OLS standard errors; the omnibus F-test is similarly adjusted.

Author(s)

John Fox jfox@mcmaster.ca

Examples

mod <- lm(prestige ~ income + education + type, data=Prestige)
    summary(mod)
    summarySandwich(mod)

RcmdrMisc

R Commander Miscellaneous Functions

v2.7-1

GPL (>= 2)

Authors

John Fox [aut, cre], Robert Muenchen [ctb], Dan Putler [ctb]

Initial release

2020-08-12