Hello All,
Is there any package in R that we can conduct regression analysis while for instance we also correct for heteroscedasticity. I know you can use lm() function and consequently sandwich(). However, I am looking for something that I can do all the works in one place.
Thanks,
Hamzeh
Hi, and welcome!
Take a look at this Czar Yobero post from a few years ago about using the generalized least squares estimator to correct a model to achieve a constant error variance and running lm with robust standard errors.
Look at the packages descriptions in the Robust Task View.
And search rseek for heteroscedasticity correction
This is probably not exactly what you're looking for, but this thread is interesting. However, the link Paul gives to Matti's blog should be this.
If you're interested in directly modeling the heteroscedasticity, check out the the arxiv link to Paul's paper.
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