To generate a sandwich estimate of a SE in JMP do the following:
Run the multiple regression like usual
Save the leverage plots
this generates 2 columns for each of your leverage plots
One column is the Y of the plot the other is the X of
the plot
Check this by doing a simple regression.
Center the X and Y for the variable you want to estimate
You will have to create new columns
Just subtract off the mean
Now you can compute the beta-hat by averaging the
product of these two columns divided by the average of
the square of the X column. Check this by creating a
product column and the square column averaging and dividing.
Compute the variance by sum(LX2
LY2)/sum(LX2)
Use the product column you create above, call it P.
sum(p2) is simple the mean squared plus the
variance of P.
A simillar argument works for LX.
Alternatevly you can use a formula: sum(p2)sum(LX2)