Help regarding White's Heteroscedasticity Correction
Dear Kishore, Yes, White's heteroscedasticity-consistent standard errors are just that -- standard errors for the OLS coefficients that are consistent in the presence of heteroscedasticity. The coefficients themselves don't change. There is an issue here: although the standard errors and OLS coefficients are consistent, the OLS estimates lose efficiency. If you know that pattern of heteroscedasticity, then you might get more efficient estimates by taking it into account, e.g., in weighted-least-squares regression, or, if the residual spread increases with the fitted values, by transforming the response. I hope this helps, John ------------------------------ John Fox, Professor Department of Sociology McMaster University Hamilton, Ontario, Canada web: socserv.mcmaster.ca/jfox
-----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
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Behalf Of Kishore Sent: February-10-09 9:19 AM To: r-help at r-project.org; r-help at stat.math.ethz.ch Subject: [R] Help regarding White's Heteroscedasticity Correction Hi I am actually running the White test for correcting Heteroscedasticity. I used sandwich() & car(), however the output shows the updated t test of coefficients, with revised Standard Errors, however the estimates remained same. My problem is that the residuals formed a pattern in the original regression equation. After running the White's test, I got some new standard errors - but from here I didn't understand how to plot the residuals (or) how to correct the estimates?? Can some one direct me in this regard.. Best, Kishore/.. http://kaykayatisb.blogspot.com [[alternative HTML version deleted]]
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