Problem with vcov.-argument in the effects package
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For a stats course I am teaching (in both R and Stata) I want to replicate Stata's robust command in R. This can be done easily using the coeftest command from the lmtest package. Using an example with data from the car library, I get the following
library(car)
library(lmtest)
library(sandwich)
mod <- lm(prestige ~ education + income, data=Prestige)
coeftest(mod, vcov = vcovHC(mod, "HC1"))
This replicates what Stata calls robust regression. But now I want to use the effects package and obtain predicted values (and confidence intervals) for this regression using the heteroscedasticity robust standard errors. According to the documentation of the package, I should be able to use the vcov. argument to change the covariance matrix to the robust one. However, when I try this as follows
effect("education", mod, vcov.=vcovHC(mod, "HC1"))
I get the error message
Error in vcov.(mod) : could not find function "vcov."
I also tried the hccm command instead, as this is from the same author as the effects package, but I get the same error message. I can't figure out where my mistake is. Any thoughts?
r effects
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up vote
0
down vote
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For a stats course I am teaching (in both R and Stata) I want to replicate Stata's robust command in R. This can be done easily using the coeftest command from the lmtest package. Using an example with data from the car library, I get the following
library(car)
library(lmtest)
library(sandwich)
mod <- lm(prestige ~ education + income, data=Prestige)
coeftest(mod, vcov = vcovHC(mod, "HC1"))
This replicates what Stata calls robust regression. But now I want to use the effects package and obtain predicted values (and confidence intervals) for this regression using the heteroscedasticity robust standard errors. According to the documentation of the package, I should be able to use the vcov. argument to change the covariance matrix to the robust one. However, when I try this as follows
effect("education", mod, vcov.=vcovHC(mod, "HC1"))
I get the error message
Error in vcov.(mod) : could not find function "vcov."
I also tried the hccm command instead, as this is from the same author as the effects package, but I get the same error message. I can't figure out where my mistake is. Any thoughts?
r effects
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
For a stats course I am teaching (in both R and Stata) I want to replicate Stata's robust command in R. This can be done easily using the coeftest command from the lmtest package. Using an example with data from the car library, I get the following
library(car)
library(lmtest)
library(sandwich)
mod <- lm(prestige ~ education + income, data=Prestige)
coeftest(mod, vcov = vcovHC(mod, "HC1"))
This replicates what Stata calls robust regression. But now I want to use the effects package and obtain predicted values (and confidence intervals) for this regression using the heteroscedasticity robust standard errors. According to the documentation of the package, I should be able to use the vcov. argument to change the covariance matrix to the robust one. However, when I try this as follows
effect("education", mod, vcov.=vcovHC(mod, "HC1"))
I get the error message
Error in vcov.(mod) : could not find function "vcov."
I also tried the hccm command instead, as this is from the same author as the effects package, but I get the same error message. I can't figure out where my mistake is. Any thoughts?
r effects
For a stats course I am teaching (in both R and Stata) I want to replicate Stata's robust command in R. This can be done easily using the coeftest command from the lmtest package. Using an example with data from the car library, I get the following
library(car)
library(lmtest)
library(sandwich)
mod <- lm(prestige ~ education + income, data=Prestige)
coeftest(mod, vcov = vcovHC(mod, "HC1"))
This replicates what Stata calls robust regression. But now I want to use the effects package and obtain predicted values (and confidence intervals) for this regression using the heteroscedasticity robust standard errors. According to the documentation of the package, I should be able to use the vcov. argument to change the covariance matrix to the robust one. However, when I try this as follows
effect("education", mod, vcov.=vcovHC(mod, "HC1"))
I get the error message
Error in vcov.(mod) : could not find function "vcov."
I also tried the hccm command instead, as this is from the same author as the effects package, but I get the same error message. I can't figure out where my mistake is. Any thoughts?
r effects
r effects
asked Nov 10 at 11:48
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