I have found several pages on the web about calculating robust standard errors (and running the related White test or Breusch-Pagan test) in Stata and other packages. Does anybody know how to do these things in Mathematica?

I would expect to find these things in a regression package, but I think this package was merged into the LinearModelFit and NonlinearModelFit functions, and I am not finding anything about robust standard errors in the documentation for these functions. There is a little bit about how to do some of it 'by hand' in the documentation of LinearModelFit (under Applications).

Thanks,

OL.