heteroTests
Provides a unified set of heteroscedasticity diagnostics for linear-model workflows. It implements classical auxiliary-regression tests, including those of White (1980) <doi:10.2307/1912934>, Breusch and Pagan (1979) <doi:10.2307/1911963>, Koenker (1981) <doi:10.1016/0304-4076(81)90062-2>, Goldfeld and Quandt (1965) <doi:10.1080/01621459.1965.10480811> and Harvey (1976) <doi:10.2307/1913974>; the score test of Cook and Weisberg (1983) <doi:10.1093/biomet/70.1.1>; the ARCH test of Engle (1982) <doi:10.2307/1912773>; and group-wise tests of equal variance, including those of Bartlett (1937) <doi:10.1098/rspa.1937.0109>, Brown and Forsythe (1974) <doi:10.1080/01621459.1974.10482955> and Hartley (1950) <doi:10.2307/2332383>. Resampling and scalable variants, simulation utilities, diagnostic visualisation and remediation helpers share a consistent interface designed for reproducible statistical workflows and integration with common modelling tools.
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A note on Studentizing a test for heteroscedasticity
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Diagnostics for heteroscedasticity in regression
- Estimating Regression Models with Multiplicative Heteroscedasticity
- Properties of sufficiency and statistical tests
- Robust Tests for the Equality of Variances
- Some Tests for Homoscedasticity
- The Maximum F-Ratio as a Short-Cut Test for Heterogeneity of Variance
This page was built for software: heteroTests
