Heteroskedasticity Robust Testing

Functions for testing affine hypotheses on the regression coefficient vector in regression models with heteroskedastic errors: (i) a function for computing various test statistics (in particular using HC0-HC4 covariance estimators based on unrestricted or restricted residuals); (ii) a function for numerically approximating the size of a test based on such test statistics and a user-supplied critical value; and, most importantly, (iii) a function for determining size-controlling critical values for such test statistics and a user-supplied significance level (also incorporating a check of conditions under which such a size-controlling critical value exists). The three functions are based on results in Poetscher and Preinerstorfer (2021) "Valid Heteroskedasticity Robust Testing" .


Reference manual

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1.0.0 by David Preinerstorfer, 20 days ago

Browse source code at https://github.com/cran/hrt

Authors: David Preinerstorfer

Documentation:   PDF Manual  

GPL-2 license

Imports methods, stats, Rcpp, CompQuadForm

Linking to Rcpp, RcppEigen

See at CRAN