Provide convenience function to update GLM Regression Model with custom vcov

[IljaK91]

Following up on the discussion over at RegressionTables.jl, there is a need to adjust regression results with custom standard errors as provided through CovarianceMatrices.jl. However, to publish these results, it is necessary to automatically export the results using the custom standard errors. At the moment, there is no possibility to do so. GLM.jl does not allow to specify custom standard errors, for example, HC. CovarianceMatrices.jl does not allow to adjust the results from GLM.jl. Finally, RegressionTables.jl does not allow to specify custom standard errors either.

Since there has been a long-standing issue over at GLM.jl without a visible solution, maybe one could take the route to implement this functionality in CovarianceMatrices.jl? It does not strike me as something that would be very difficult, but it is somewhat inaccessible for someone who is not familiar with StatsBase and the whole regression framework.

What is the opinion on this?

[gragusa]

This seems a great idea. We should understand how to implement it. Do you have ideas to this regard?

[IljaK91]

Thank you for the quick response. I did have a look, but it does not seem to be so straightforward. Something was mentioned in the prior discussion about adjusting the pp field of the LinPredModel. I will dig later this week a little bit more into it. But once the structure is understood, it should be straightforward to do.