[R] Adjusting for heteroscedasticity

Frank E Harrell Jr fharrell at virginia.edu
Mon Oct 21 21:13:50 CEST 2002

On Mon, 21 Oct 2002 17:39:01 +0200
Bernd Weiss <weiss at wiso-r610.wiso.uni-koeln.de> wrote:

> Hi,
> am I right that there is no option in R to adjust for heteroscedasticity  
> (e.g. in logistic regressions).
> TIA,
> Bernd
> -- 
> Bernd Weiss <bernd.weiss at wiso.uni-koeln.de>
> Forschungsinstitut fuer Soziologie, Universitaet zu Koeln      
> <http://www.uni-koeln.de/wiso-fak/fisoz/mitarbeiter/bw/>

library(Design)  # see hesweb1.med.virginia.edu/biostat/rms
f <- lrm(..., x=T, y=T)
g <- robcov(f)  # Huber-White covariance matrix
h <- bootcov(f, B=200)  # bootstrap covariance matrix

Both robcov and bootcov will do intra-cluster correlation adjustments:
robcov(f, subject.id) or bootcov(f, subject.id)
Frank E Harrell Jr              Prof. of Biostatistics & Statistics
Div. of Biostatistics & Epidem. Dept. of Health Evaluation Sciences
U. Virginia School of Medicine  http://hesweb1.med.virginia.edu/biostat
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