I understand that rlm (robust regression) addresses issues of outliers and influential observations, but does not address heteroskedasticity. I have come to learn that heterogenity of variance can be addressed by using functions in the sandwich package. Can one use both rlm and sandwich estimation?
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StasK
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1`lmrob()` within the robustbase package uses a sandwich type estimator. – Heteroskedastic Jim Sep 23 '18 at 04:44
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Thank you! What are some tips for choosing among `rlm`, `lmrob` and `lstReg` packages? – SanMelkote Sep 23 '18 at 04:50
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I cannot remember enough about `rlm()` and `lmrob()` to choose between them. I know nothing about lstReg. – Heteroskedastic Jim Sep 23 '18 at 04:51