Example calculations of VIFs and robust SEs

ex basic econometrics.R

# *-----------------------------------------------------------------
# | PROGRAM NAME: ex basic econometrics.R
# | DATE: 11/14/21
# | CREATED BY: MATT BOGARD
# | PROJECT FILE:
# *----------------------------------------------------------------
# | PURPOSE: example calculate VIFs and robust SEs
# *----------------------------------------------------------------


library(car)

df = read.csv("/Users/mattbogard/Google Drive/Data/lalonde.csv")

names(df)

#
# vif
#


vif(lm(treat ~ age + nodegree + re74 + re75, data=df))

#
# robust standard errors
#

# https://stats.stackexchange.com/questions/117052/replicating-statas-robust-option-in-r 

library(foreign)
library(sandwich)
library(lmtest)

model <- lm(treat ~ age + nodegree + re74 + re75, data=df)
summary(model)                                  #non-robust

# check that "sandwich" returns HC0
coeftest(model, vcov = sandwich)                # robust; sandwich
coeftest(model, vcov = vcovHC(model, "HC0"))    # robust; HC0 

# check that the default robust var-cov matrix is HC3
coeftest(model, vcov = vcovHC(model))           # robust; HC3 
coeftest(model, vcov = vcovHC(model, "HC3"))    # robust; HC3 (default)

# reproduce the Stata default
coeftest(model, vcov = vcovHC(model, "HC1"))    # robust; HC1 (Stata default)