[aut, cre],
University of the Western Cape [cph]Implements numerous methods for detecting heteroskedasticity (sometimes called heteroscedasticity) in the classical linear regression model. These include the parametric and nonparametric tests of Goldfeld and Quandt (1965) <doi:10.1080/01621459.1965.10480811>, the test of Glejser (1969) <doi:10.1080/01621459.1969.10500976> as formulated by Mittelhammer, Judge and Miller (2000, ISBN: 0-521-62394-4), the BAMSET Test of Ramsey (1969) <doi:10.1111/j.2517-6161.1969.tb00796.x>, which uses the BLUS residuals derived by Theil (1965) <doi:10.1080/01621459.1965.10480851>, the test of Harvey (1976) <doi:10.2307/1913974>, the test of 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>, the test of White (1980) <doi:10.2307/1912934>, the test and graphical Cook and Weisberg (1983) <doi:10.1093/biomet/70.1.1>, and the test of Li and Yao (2019) <doi:10.1016/j.ecosta.2018.01.001>. Homoskedasticity refers to the assumption of constant variance that is imposed on the model errors (disturbances); heteroskedasticity is the violation of this assumption.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats (≥ 3.5.0), utils (≥ 3.5.0), Rdpack (≥ 0.11.0), tibble (≥ 2.1.3), broom (≥ 0.5.3), magrittr (≥ 1.5.0), pracma (≥ 2.2.5), gmp (≥ 0.5.13), Rmpfr (≥ 0.7.2), matrixcalc (≥ 1.0.3), lubridate (≥ 1.7.4), lmtest (≥ 0.9.37), car (≥ 3.0.5), het.test (≥ 0.1), tseries (≥ 0.10.47) |
| Published: | 2020-01-10 |
| Author: | Thomas Farrar
[aut, cre],
University of the Western Cape [cph] |
| Maintainer: | Thomas Farrar <tjfarrar at alumni.uwaterloo.ca> |
| BugReports: | http://github.com/tjfarrar/skedastic/issues |
| License: | MIT + file LICENSE |
| URL: | http://github.com/tjfarrar/skedastic |
| NeedsCompilation: | no |
| Citation: | skedastic citation info |
| Materials: | README NEWS |
| In views: | Econometrics |
| CRAN checks: | skedastic results |
| Reference manual: | skedastic.pdf |
| Package source: | skedastic_0.1.0.tar.gz |
| Windows binaries: | r-devel: skedastic_0.1.0.zip, r-release: skedastic_0.1.0.zip, r-oldrel: skedastic_0.1.0.zip |
| macOS binaries: | r-release: skedastic_0.1.0.tgz, r-oldrel: skedastic_0.1.0.tgz |
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