skedastic
Handling Heteroskedasticity in the Linear Regression Model
Last update: 8 January 2024
Copyright license: MIT license, File License
Software version identifier: 2.0.1, 0.1.0, 1.0.0, 1.0.1, 1.0.3, 1.0.4, 2.0.2
Implements numerous methods for testing for, modelling, and correcting for heteroskedasticity in the classical linear regression model. The most novel contribution of the package is found in the functions that implement the as-yet-unpublished auxiliary linear variance models and auxiliary nonlinear variance models that are designed to estimate error variances in a heteroskedastic linear regression model. These models follow principles of statistical learning described in Hastie (2009) <doi:10.1007/978-0-387-21606-5>. The nonlinear version of the model is estimated using quasi-likelihood methods as described in Seber and Wild (2003, ISBN: 0-471-47135-6). Bootstrap methods for approximate confidence intervals for error variances are implemented as described in Efron and Tibshirani (1993, ISBN: 978-1-4899-4541-9), including also the expansion technique described in Hesterberg (2014) <doi:10.1080/00031305.2015.1089789>. The wild bootstrap employed here follows the description in Davidson and Flachaire (2008) <doi:10.1016/j.jeconom.2008.08.003>. Tuning of hyper-parameters makes use of a golden section search function that is modelled after the MATLAB function of Zarnowiec (2022) <https://www.mathworks.com/matlabcentral/fileexchange/25919-golden-section-method-algorithm>. A methodological description of the algorithm can be found in Fox (2021, ISBN: 978-1-003-00957-3). There are 25 different functions that implement hypothesis tests for heteroskedasticity. These include a test based on Anscombe (1961) <https://projecteuclid.org/euclid.bsmsp/1200512155>, Ramsey's (1969) BAMSET Test <doi:10.1111/j.2517-6161.1969.tb00796.x>, the tests of Bickel (1978) <doi:10.1214/aos/1176344124>, Breusch and Pagan (1979) <doi:10.2307/1911963> with and without the modification proposed by Koenker (1981) <doi:10.1016/0304-4076(81)90062-2>, Carapeto and Holt (2003) <doi:10.1080/0266476022000018475>, Cook and Weisberg (1983) <doi:10.1093/biomet/70.1.1> (including their graphical methods), Diblasi and Bowman (1997) <doi:10.1016/S0167-7152(96)00115-0>, Dufour, Khalaf, Bernard, and Genest (2004) <doi:10.1016/j.jeconom.2003.10.024>, Evans and King (1985) <doi:10.1016/0304-4076(85)90085-5> and Evans and King (1988) <doi:10.1016/0304-4076(88)90006-1>, Glejser (1969) <doi:10.1080/01621459.1969.10500976> as formulated by Mittelhammer, Judge and Miller (2000, ISBN: 0-521-62394-4), Godfrey and Orme (1999) <doi:10.1080/07474939908800438>, Goldfeld and Quandt (1965) <doi:10.1080/01621459.1965.10480811>, Harrison and McCabe (1979) <doi:10.1080/01621459.1979.10482544>, Harvey (1976) <doi:10.2307/1913974>, Honda (1989) <doi:10.1111/j.2517-6161.1989.tb01749.x>, Horn (1981) <doi:10.1080/03610928108828074>, Li and Yao (2019) <doi:10.1016/j.ecosta.2018.01.001> with and without the modification of Bai, Pan, and Yin (2016) <doi:10.1007/s11749-017-0575-x>, Rackauskas and Zuokas (2007) <doi:10.1007/s10986-007-0018-6>, Simonoff and Tsai (1994) <doi:10.2307/2986026> with and without the modification of Ferrari, Cysneiros, and Cribari-Neto (2004) <doi:10.1016/S0378-3758(03)00210-6>, Szroeter (1978) <doi:10.2307/1913831>, Verbyla (1993) <doi:10.1111/j.2517-6161.1993.tb01918.x>, White (1980) <doi:10.2307/1912934>, Wilcox and Keselman (2006) <doi:10.1080/10629360500107923>, Yuce (2008) <https://dergipark.org.tr/en/pub/iuekois/issue/8989/112070>, and Zhou, Song, and Thompson (2015) <doi:10.1002/cjs.11252>. Besides these heteroskedasticity tests, there are supporting functions that compute the BLUS residuals of Theil (1965) <doi:10.1080/01621459.1965.10480851>, the conditional two-sided p-values of Kulinskaya (2008) <arXiv:0810.2124v1>, and probabilities for the nonparametric trend statistic of Lehmann (1975, ISBN: 0-816-24996-1). For handling heteroskedasticity, in addition to the new auxiliary variance model methods, there is a function to implement various existing Heteroskedasticity-Consistent Covariance Matrix Estimators from the literature, such as those of White (1980) <doi:10.2307/1912934>, 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 et al. (2007) <doi:10.1080/03610920601126589>, Cribari-Neto and da Silva (2011) <doi:10.1007/s10182-010-0141-2>, Aftab and Chang (2016) <doi:10.18187/pjsor.v12i2.983>, and Li et al. (2017) <doi:10.1080/00949655.2016.1198906>.
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- What Teachers Should Know About the Bootstrap: Resampling in the Undergraduate Statistics Curriculum
- The wild bootstrap, tamed at last
- Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis
- Using Residuals Robustly I: Tests for Heteroscedasticity, Nonlinearity
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- A note on studentizing a test for heteroscedasticity
- Testing for heteroscedasticity in regression models
- Diagnostics for heteroscedasticity in regression
- Testing for constant variance in a linear model
- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
- A point optimal test for heteroscedastic disturbances
- A further class of tests for heteroscedasticity
- A New Test for Heteroskedasticity
- The robustness, reliabiligy and power of heteroskedasticity tests
- Some Tests for Homoscedasticity
- A Test for Heteroscedasticity Based on Ordinary Least Squares Residuals
- Estimating Regression Models with Multiplicative Heteroscedasticity
- On the Optimality of Some Tests of the Error Covariance Matrix in the Linear Regression Model
- Heteroscedasticity of residuals: a non-parametric alternative to the goldfeld-quandt peak test
- Testing for heteroscedasticity in high-dimensional regressions
- A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test
- New tests of heteroskedasticity in linear regression model
- Use of Modified Profile Likelihood for Improved Tests of Constancy of Variance in Regression
- An improved test for heteroskedasticity using adjusted modified profile likelihood inference
- A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models
- Modelling Variance Heterogeneity: Residual Maximum Likelihood and Diagnostics
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Detecting heteroscedasticity in a simple regression model via quantile regression slopes
- Profiling heteroscedasticity in linear regression models
- The Analysis of Disturbances in Regression Analysis
- Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
- Asymptotic inference under heteroskedasticity of unknown form
- Inference Under Heteroskedasticity and Leveraged Data
- A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
- A New Heteroskedastic Consistent Covariance Matrix Estimator using Deviance Measure
- A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
- On two-sided p-values for non-symmetric distributions
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