hcinfer
Performs heteroskedasticity-consistent inferences in linear regressions under heteroskedasticity. The published HC0 through HC5m estimators implemented in the package follow White (1980) <doi:10.2307/1912934>, Hinkley (1977) <doi:10.1080/00401706.1977.10489550>, MacKinnon and White (1985) <doi:10.1016/0304-4076(85)90158-7>, Cribari-Neto (2004) <doi:10.1016/S0167-9473(02)00366-3>, Cribari-Neto and da Silva (2011) <doi:10.1007/s10182-010-0141-2>, Cribari-Neto et al. (2007) <doi:10.1080/03610920601126589> with its erratum <doi:10.1080/03610920802109210>, and Li et al. (2016) <doi:10.1080/00949655.2016.1198906>. The package also includes HCbeta, a new estimator proposed by the package authors. It additionally provides feasible generalized least squares estimation under multiplicative heteroskedasticity following Harvey (1976) <doi:10.2307/1913974> and Cribari-Neto and Pereira (2019) <doi:10.1080/00949655.2019.1586902>, with two-step and maximum likelihood fitting and information criteria for the likelihood fit. It provides normal Wald tests, confidence intervals, diagnostics, and S3 output for applied inference.
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
- A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
- Asymptotic inference under heteroskedasticity of unknown form
- Errata: Inference Under Heteroskedasticity and Leveraged Data,Communications in Statistics, Theory and Methods, 36, 1877–1888, 2007
- Estimating Regression Models with Multiplicative Heteroscedasticity
- Inference Under Heteroskedasticity and Leveraged Data
- Jackknifing in Unbalanced Situations
- Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
- Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches
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