Message-ID: <1292865369830-3095852.post@n4.nabble.com>
Date: 2010-12-20T17:16:09Z
From: JoonGi
Subject: After heteroskedasticity correction, how can I get new confidential interval?
In-Reply-To: <E894383F-7AC8-4B81-BD44-ADE366CB1E32@gmail.com>
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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