can't get robust std errs for linear regression - Zelig

5 Jun 2013

Hi,

It doesn't seem like "robust=TRUE" is working for linear regression (ls). 
The standard errors are coming out exactly the same as with "robust=FALSE".

I am on R 3.0.0 and Zelig 4.1-3 (and have tried on Linux and Windows).

Has anyone else had this problem?

Here's a reproducible example:

## "Robust" estimation not working
require(Zelig)
df <- data.frame(y=c(rnorm(n=100, mean=0, sd=1), rnorm(n=100, mean=10, sd=10)),
                 x=c(rep(1, 100), rep(2,100)))
z.robustT <- zelig(y ~ x, data=df, model="ls", robust=TRUE)
z.robustF <- zelig(y ~ x, data=df, model="ls", robust=FALSE)
# Standard errors are the same:
summary(z.robustT)
summary(z.robustF)

## Alternative
require(sandwich)
require(lmtest)
lm.robustF <- lm(y ~ x, data=df) 
summary(lm.robustF)             #matches z.robustF
vcovMat    <- vcovHC(lm.robustF)
lm.robustT <- coeftest(lm.robustF, vcov.=vcovMat) 
lm.robustT                      #same coef, different se

##########

Rod
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