[R] Robust Standard Error in R

Arnab Dutta arnab.killy at gmail.com
Sun Sep 28 13:47:20 CEST 2014


    In order to have robust standard errors in R, what would be the command
that can generate results similar to the "robust" option in STATA? I tried
using the "lmrob" command from the package "robustbase". With that, the
Adjusted R squared is quite different from the normal "lm" command. This
does not happen in STATA. Can anybody please enlighten me on this?


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