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hrt (version 1.0.1)

Heteroskedasticity Robust Testing

Description

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" .

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Version

Install

install.packages('hrt')

Monthly Downloads

578

Version

1.0.1

License

GPL-2

Maintainer

David Preinerstorfer

Last Published

September 8th, 2021

Functions in hrt (1.0.1)

test.stat

Computation of the test statistics
critical.value

Critical Values for Heteroskedasticity Robust Testing
hrt-package

hrt
size

Computing the Size of Heteroskedasticity Robust Tests