Aplicación de la librería stargazer para presentar modelos corregidos con estimadores HAC

options(scipen = 9999999)
library(foreign)
library(haven)
## Warning: package 'haven' was built under R version 4.0.5
crime <- read_dta("C:/Users/Chelo/Downloads/crime.dta")
modelo_crime<-lm(crime~poverty+single,data = crime)
print(modelo_crime)
## 
## Call:
## lm(formula = crime ~ poverty + single, data = crime)
## 
## Coefficients:
## (Intercept)      poverty       single  
##   -1368.189        6.787      166.373

Pruebas de Heterocedasticidad y Autocorrelación

Prueba de White (prueba de Breusch Pagan)

library(lmtest)
## Loading required package: zoo
## Warning: package 'zoo' was built under R version 4.0.5
## 
## Attaching package: 'zoo'
## The following objects are masked from 'package:base':
## 
##     as.Date, as.Date.numeric
white_test<-bptest(modelo_crime,~I(poverty^2)+I(single^2)+poverty*single, data= crime)
print(white_test)
## 
##  studentized Breusch-Pagan test
## 
## data:  modelo_crime
## BP = 10.73, df = 5, p-value = 0.057

sin corregir

options(scipen = 999999)
library(lmtest)
modelo_no_corregido<-coeftest(modelo_crime)
print(modelo_no_corregido)
## 
## 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

corregido (usando un estimador HAC)

library(lmtest)
library(sandwich)
## Warning: package 'sandwich' was built under R version 4.0.5
estimacion_omega<-vcovHC(modelo_crime,type ="HC0")
modelo_corregido<-coeftest(modelo_crime,vcov. = estimacion_omega)
print(modelo_corregido)
## 
## t test of coefficients:
## 
##               Estimate Std. Error t value      Pr(>|t|)    
## (Intercept) -1368.1887   276.4111 -4.9498 0.00000956181 ***
## poverty         6.7874    10.6010  0.6403        0.5251    
## single        166.3727    25.4510  6.5370 0.00000003774 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

#comparacion

options(scipen = 9999999)
library(stargazer)
stargazer(modelo_no_corregido,modelo_corregido,type= "text",title="comparación")
## 
## comparación
## =====================================
##              Dependent variable:     
##          ----------------------------
##                                      
##               (1)            (2)     
## -------------------------------------
## poverty      6.787          6.787    
##             (8.989)       (10.601)   
##                                      
## single     166.373***    166.373***  
##             (19.423)      (25.451)   
##                                      
## Constant -1,368.189***  -1,368.189***
##            (187.205)      (276.411)  
##                                      
## =====================================
## =====================================
## Note:     *p<0.1; **p<0.05; ***p<0.01