After heteroskedasticity correction, how can I get new confidential interval?
First of all, thanks for your guide! Let me be more specific, here. Using data(Housing) from Ecdat library I ran a regression raw.model<-lprice~llot+lbed+lbath+lsto+factor(driveway)+factor(recroom)+factor(fullbase)+factor(gashw)+factor(airco)+factor(prefarea)+factor(garagepl) coeftest(lm(raw.model)) and I got heteroskedasticity in significant level 5% such as below. bptest(lm(raw.model)) So, I corrected like this. sqrt(diag(hccm(lm(raw.model),type="hc1"))) This gave me the corrected std.errors.
From this moment, I want to test whether my parameters are individually and
jointly significant since the new std.error will change coeftest(lm(raw.model))'s t, p and F value. Then, How can I get these new t, p, F? Is there any R command for this?
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