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:David Preinerstorfer

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'))

Peer review:

Uses libs:
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 136 downloads 3 exports 3 dependencies

Last updated 3 years agofrom:23e587beca. Checks:OK: 1 NOTE: 1. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 27 2024
R-4.5-linux-x86_64NOTEOct 27 2024

Exports:critical.valuesizetest.stat

Dependencies:CompQuadFormRcppRcppEigen