rob var/cov + LAD regression

classic Classic list List threaded Threaded
4 messages Options
Reply | Threaded
Open this post in threaded view
|

rob var/cov + LAD regression

Angelo Secchi

Hi,
after looking around I was not able to get info about these two questions:

1. Is there a function to have a  "jackknifed corrected  var/cov estimate" (as described in MacKinnon and White 1985) in a standard OLS regression?

2. Does R possess a LAD (Least Absolute Deviation) regression function?

Any help?
Thanks

--
========================================================
 Angelo Secchi                     PGP Key ID:EA280337

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Reply | Threaded
Open this post in threaded view
|

Re: rob var/cov + LAD regression

Bert Gunter
RSiteSearch() is your friend.

For 1) Try RSiteSearch('Jackknife',restrict='functions')

For 2) see package quantreg

-- Bert Gunter
Genentech Non-Clinical Statistics
South San Francisco, CA
 
"The business of the statistician is to catalyze the scientific learning
process."  - George E. P. Box
 
 

> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]] On Behalf Of Angelo Secchi
> Sent: Wednesday, February 08, 2006 8:23 AM
> To: [hidden email]
> Subject: [R] rob var/cov + LAD regression
>
>
> Hi,
> after looking around I was not able to get info about these
> two questions:
>
> 1. Is there a function to have a  "jackknifed corrected  
> var/cov estimate" (as described in MacKinnon and White 1985)
> in a standard OLS regression?
>
> 2. Does R possess a LAD (Least Absolute Deviation) regression
> function?
>
> Any help?
> Thanks
>
> --
> ========================================================
>  Angelo Secchi                     PGP Key ID:EA280337
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
>

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Reply | Threaded
Open this post in threaded view
|

Re: rob var/cov + LAD regression

Kjetil Halvorsen
In reply to this post by Angelo Secchi
Angelo Secchi wrote:
> Hi,
> after looking around I was not able to get info about these two questions:
>
> 1. Is there a function to have a  "jackknifed corrected  var/cov estimate" (as described in MacKinnon

and White 1985) in a standard OLS regression?

Not sure, but look at package  sandwich  (on CRAN).

>
> 2. Does R possess a LAD (Least Absolute Deviation) regression function?

This can be done with package quantreg  (on CRAN).

Kjetil

>
> Any help?
> Thanks
>

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Reply | Threaded
Open this post in threaded view
|

Re: rob var/cov + LAD regression

RKoenker
In reply to this post by Angelo Secchi

On Feb 8, 2006, at 10:22 AM, Angelo Secchi wrote:

>
> 1. Is there a function to have a  "jackknifed corrected  var/cov  
> estimate" (as described in MacKinnon and White 1985) in a standard  
> OLS regression?

package:  sandwich
>
> 2. Does R possess a LAD (Least Absolute Deviation) regression  
> function?
>
package:  quantreg

url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    [hidden email]            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Champaign, IL 61820

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html