Message-ID: <74A3FD94B951F9409417CB87F49FF4D90224FFE5@icex3.ic.ac.uk>
Date: 2008-09-04T13:03:04Z
From: Carrasco-Torrecilla, Roman R
Subject: Correct for heteroscedasticity using car package
In-Reply-To: <mailman.27.1220436008.22412.r-help@r-project.org>
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.