Heteroskedasticity Diagnostics for Linear Regression Models

Implements numerous methods for detecting heteroskedasticity (sometimes called heteroscedasticity) in the classical linear regression model. These include a test based on Anscombe (1961) < https://projecteuclid.org/ euclid.bsmsp/1200512155>, Ramsey's (1969) BAMSET Test , the tests of Bickel (1978) , Breusch and Pagan (1979) with and without the modification proposed by Koenker (1981) , Carapeto and Holt (2003) , Cook and Weisberg (1983) (including their graphical methods), Diblasi and Bowman (1997) , Dufour, Khalaf, Bernard, and Genest (2004) , Evans and King (1985) and Evans and King (1988) , Glejser (1969) as formulated by Mittelhammer, Judge and Miller (2000, ISBN: 0-521-62394-4), Godfrey and Orme (1999) , Goldfeld and Quandt (1965) , Harvey (1976) , Honda (1989) , Horn (1981) , Li and Yao (2019) with and without the modification of Bai, Pan, and Yin (2016) , Rackauskas and Zuokas (2007) , Simonoff and Tsai (1994) with and without the modification of Ferrari, Cysneiros, and Cribari-Neto (2004) , Szroeter (1978) , Verbyla (1993) , White (1980) , Wilcox and Keselman (2006) , and Zhou, Song, and Thompson (2015) . Besides these heteroskedasticity tests, there are supporting functions that compute the BLUS residuals of Theil (1965) , the conditional two-sided p-values of Kulinskaya (2008) , and probabilities for the nonparametric trend statistic of Lehmann (1975, ISBN: 0-816-24996-1). Homoskedasticity refers to the assumption of constant variance that is imposed on the model errors (disturbances); heteroskedasticity is the violation of this assumption.


Reference manual

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1.0.1 by Thomas Farrar, 5 months ago


Report a bug at https://github.com/tjfarrar/skedastic/issues

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

Authors: Thomas Farrar [aut, cre] , University of the Western Cape [cph]

Documentation:   PDF Manual  

Task views: Econometrics

MIT + file LICENSE license

Imports Rdpack, broom, pracma, gmp, Rmpfr, arrangements, cubature, quantreg, CompQuadForm, MASS, qpdf, boot, berryFunctions, bazar, expm, mvtnorm, data.table, dplyr

Suggests knitr, rmarkdown, devtools, lmtest, car, tseries, tibble, het.test, testthat, mlbench

See at CRAN