I understood. But how do I get the R2 an Chi2 of my logistic regression under HAC standard errors? I would like to create a table with HAC SE via e.g. stargazer().
Do I get these information by using the functions bread.lrm <- function(x, ...) vcov(x) * nobs(x) estfun.lrm <- function(x, ...) residuals(x, "score")? Do I need to use the coeftest() in this case? ________________________________________ From: R-help <r-help-boun...@r-project.org> on behalf of Achim Zeileis <achim.zeil...@uibk.ac.at> Sent: 31 May 2016 08:36 To: Leonardo Ferreira Fontenelle Cc: r-help@r-project.org Subject: Re: [R] sandwich package: HAC estimators On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote: > Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu: >> On Sat, 28 May 2016, T.Riedle wrote: >> > I thought it would be useful to incorporate the HAC consistent >> > covariance matrix into the logistic regression directly and generate an >> > output of coefficients and the corresponding standard errors. Is there >> > such a function in R? >> >> Not with HAC standard errors, I think. > > Don't glmrob() and summary.glmrob(), from robustbase, do that? No, they implement a different concept of robustness. See also https://CRAN.R-project.org/view=Robust glmrob() implements GLMs that are "robust" or rather "resistant" to outliers and other observations that do not come from the main model equation. Instead of maximum likelihood (ML) estimation other estimation techniques (along with corresponding covariances/standard errors) are used. In contrast, the OP asked for HAC standard errors. The motivation for these is that the main model equation does hold for all observations but that the observations might be heteroskedastic and/or autocorrelated. In this situation, ML estimation is still consistent (albeit not efficient) but the covariance matrix estimate needs to be adjusted. > > Leonardo Ferreira Fontenelle, MD, MPH > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
