#Estimacion del modelo
library(foreign)
library(stargazer)
datos_regresion <- read.dta("https://stats.idre.ucla.edu/stat/data/crime.dta")
modelo_crime <- lm(crime~poverty+single,data=datos_regresion)
stargazer(modelo_crime, type = "html", title = "Modelo Estimado")
Modelo Estimado
Dependent variable:
crime
poverty 6.787
(8.989)
single 166.373***
(19.423)
Constant -1,368.189***
(187.205)
Observations 51
R2 0.707
Adjusted R2 0.695
Residual Std. Error 243.610 (df = 48)
F Statistic 57.964*** (df = 2; 48)
Note: p<0.1; p<0.05; p<0.01

Estimación robusta (uso del Estimador HAC)

Correlación de primer orden

#Sin corregir
options(scipen = 99999)
library(lmtest)

coeftest(modelo_crime)
## 
## t test of coefficients:
## 
##               Estimate Std. Error t value         Pr(>|t|)    
## (Intercept) -1368.1887   187.2052 -7.3085 0.00000000247861 ***
## poverty         6.7874     8.9885  0.7551           0.4539    
## single        166.3727    19.4229  8.5658 0.00000000003117 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#Correlación de primer orden
options(scipen = 99999)
library(lmtest)
library(sandwich)
estimacion_omega <- vcovHC(modelo_crime,type = "HC1") 
coeftest(modelo_crime,vcov. = estimacion_omega)
## 
## t test of coefficients:
## 
##               Estimate Std. Error t value      Pr(>|t|)    
## (Intercept) -1368.1887   284.9180 -4.8020 0.00001576624 ***
## poverty         6.7874    10.9273  0.6211        0.5374    
## single        166.3727    26.2343  6.3418 0.00000007519 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Comparativa

Robusto <- sqrt(diag(estimacion_omega))
stargazer(modelo_crime, modelo_crime, se = list(NULL, Robusto),
          column.labels = c("Sin corregir", "Corregido"), align = TRUE, 
          type = "html",
          title="Comparativa")
Comparativa
Dependent variable:
crime
Sin corregir Corregido
(1) (2)
poverty 6.787 6.787
(8.989) (10.927)
single 166.373*** 166.373***
(19.423) (26.234)
Constant -1,368.189*** -1,368.189***
(187.205) (284.918)
Observations 51 51
R2 0.707 0.707
Adjusted R2 0.695 0.695
Residual Std. Error (df = 48) 243.610 243.610
F Statistic (df = 2; 48) 57.964*** 57.964***
Note: p<0.1; p<0.05; p<0.01

Para correlación de segundo orden

#Correlación de segundo orden
estimacion_omega2 <- NeweyWest(modelo_crime,lag = 2)
Robusto2 <- sqrt(diag(estimacion_omega2))
stargazer(modelo_crime, modelo_crime, se = list(NULL, Robusto2),
          column.labels = c("Sin corregir", "Corregido 2"), align = TRUE,
          type = "html",
          title="Comparativa")
Comparativa
Dependent variable:
crime
Sin corregir Corregido 2
(1) (2)
poverty 6.787 6.787
(8.989) (10.594)
single 166.373*** 166.373***
(19.423) (25.915)
Constant -1,368.189*** -1,368.189***
(187.205) (303.847)
Observations 51 51
R2 0.707 0.707
Adjusted R2 0.695 0.695
Residual Std. Error (df = 48) 243.610 243.610
F Statistic (df = 2; 48) 57.964*** 57.964***
Note: p<0.1; p<0.05; p<0.01