Package: hrt 1.0.1
David Preinerstorfer
hrt: Heteroskedasticity Robust Testing
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" <arxiv:2104.12597>.
Authors:
hrt_1.0.1.tar.gz
hrt_1.0.1.tar.gz(r-4.5-noble)hrt_1.0.1.tar.gz(r-4.4-noble)
hrt_1.0.1.tgz(r-4.4-emscripten)hrt_1.0.1.tgz(r-4.3-emscripten)
hrt.pdf |hrt.html✨
hrt/json (API)
NEWS
# Install 'hrt' in R: |
install.packages('hrt', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 years agofrom:23e587beca. Checks:OK: 1 NOTE: 1. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 26 2024 |
R-4.5-linux-x86_64 | NOTE | Nov 26 2024 |
Exports:critical.valuesizetest.stat
Dependencies:CompQuadFormRcppRcppEigen
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Heteroskedasticity Robust Testing | hrt-package hrt |
Critical Values for Heteroskedasticity Robust Testing | critical.value |
Computing the Size of Heteroskedasticity Robust Tests | size |
Computation of the test statistics | test.stat |