Germán Rodríguez
Generalized Linear Models Princeton University

Robust Standard Errors in R

Stata makes the calculation of robust standard errors easy via the vce(robust) option. Replicating the results in R is not exactly trivial, but Stack Exchange provides a solution, see replicating Stata’s robust option in R.

  So here’s our final model for the program effort data using the robust option in Stata

. use https://data.princeton.edu/wws509/datasets/effort, clear
(Family Planning Effort Data)

. recode effort (min/4=1 "Weak") (5/14=2 "Moderate") (15/max=3 "Strong"), gen(effortg)
(20 differences between effort and effortg)

. regress change setting i.effortg, vce(robust)

Linear regression                               Number of obs     =         20
                                                F(3, 16)          =      28.29
                                                Prob > F          =     0.0000
                                                R-squared         =     0.8016
                                                Root MSE          =      5.732

─────────────┬────────────────────────────────────────────────────────────────
             │               Robust
      change │      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
─────────────┼────────────────────────────────────────────────────────────────
     setting │   .1692677   .0454318     3.73   0.002     .0729565    .2655788
             │
     effortg │
   Moderate  │   4.143915    3.19122     1.30   0.213     -2.62117      10.909
     Strong  │   19.44761   2.567472     7.57   0.000     14.00481    24.89041
             │
       _cons │  -5.954036   2.707697    -2.20   0.043     -11.6941   -.2139743
─────────────┴────────────────────────────────────────────────────────────────

  Here’s how to get the same result in R. Basically you need the sandwich package, which computes robust covariance matrix estimators. You also need some way to use the variance estimator in a linear model, and the lmtest package is the solution. You will not get the same results as Stata, however, unless you use the HC1 estimator; the default is HC3, for reasons explained in ?vcovHC.

> library(foreign)
> fpe <- read.dta("https://data.princeton.edu/wws509/datasets/effort.dta")
> fpe$effortg = cut(fpe$effort,  breaks=c(min(fpe$effort),5,15,max(fpe$effort)), 
+     right=FALSE, include.lowest=TRUE, labels=c("Weak","Moderate","Strong"))
> m <- lm(change ~ setting + effortg, data = fpe)
> library(lmtest)
> library(sandwich)
> coeftest(m, vcov = vcovHC(m, type="HC1"))

t test of coefficients:

                 Estimate Std. Error t value  Pr(>|t|)    
(Intercept)     -5.954036   2.707697 -2.1989   0.04294 *  
setting          0.169268   0.045432  3.7258   0.00184 ** 
effortgModerate  4.143915   3.191220  1.2985   0.21251    
effortgStrong   19.447609   2.567472  7.5746 1.118e-06 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

The main point is that the results are exactly the same. Interestingly, some of the robust standard errors are smaller than the model-based errors, and the effect of setting is now significant