Message-ID: <alpine.DEB.2.00.1101202235110.18941@paninaro.uibk.ac.at>
Date: 2011-01-20T21:42:26Z
From: Achim Zeileis
Subject: Regression Testing
In-Reply-To: <4D38882D.2010007@sispyrc.com>
On Thu, 20 Jan 2011, Mojo wrote:
> I'm new to R and some what new to the world of stats. I got frustrated with
> excel and found R. Enough of that already.
>
> I'm trying to test and correct for Heteroskedasticity
>
> I have data in a csv file that I load and store in a dataframe.
>
>> ds <- read.csv("book2.csv")
>> df <- data.frame(ds)
>
> I then preform a OLS regression:
>
>> lmfit <- lm(df$y~df$x)
Just btw: lm(y ~ x, data = df) is somewhat easier to read and also easier
to write when the formula involves more regressors.
> To test for Heteroskedasticity, I run the BPtest:
>
>> bptest(lmfit)
>
> studentized Breusch-Pagan test
>
> data: lmfit
> BP = 11.6768, df = 1, p-value = 0.0006329
>
> From the above, if I'm interpreting this correctly, there is
> Heteroskedasticity present. To correct for this, I need to calculate robust
> error terms.
That is one option. Another one would be using WLS instead of OLS - or
maybe FGLS. As the model just has one regressor, this might be possible
and result in a more efficient estimate than OLS.
> From my reading on this list, it seems like I need to vcovHC.
That's another option, yes.
>> vcovHC(lmfit)
> (Intercept) df$x
> (Intercept) 1.057460e-03 -4.961118e-05
> df$x -4.961118e-05 2.378465e-06
>
> I'm having a little bit of a hard time following the help pages.
Yes, the manual page is somewhat technical but the first thing the
"Details" section does is: It points you to some references that should be
easier to read. I recommend starting with
Zeileis A (2004), Econometric Computing with HC and HAC Covariance
Matrix Estimators. _Journal of Statistical Software_, *11*(10),
1-17. URL <URL: http://www.jstatsoft.org/v11/i10/>.
That has also some worked examples.
> So is the first column the intercepts and the second column new standard
> errors?
As David pointed out, it's the full covariance matrix estimate.
hth,
Z
> Thanks,
> mojo
>
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