I have a question regarding to the concept of robust standard errors. What I found about that topic is, that one can estimate the robust standard error for regression coefficients to eliminate problems with heteroscedasticity (when one wants to interpret a model). I want to know if there is a way not only to determine robust standard errors of coefficients but also of the standard error of the overall regression (residual standard error). When its possible, how can I calculate such a value in general?
Because I'm using R its also interesting for me if there is a
R-function for this problem (I only know the
sandwich-package for the normal robust SE of the coefficients).