Hi all, I just discovered R a couple of days ago and I must say it rocks. I've been looking for heteroskedasticity tests and couldn't find any, however. Particularly, I've been told in one of my courses on econometrics of White's method (>< white.test()). The test's statistic is beta / sqrt(W), where W is Var(beta) "? la White", that is the beta(i) matrix is replaced by the residuals matrix. Anyway, whatever anybody may haev, I'm interested, else I'll write it this week-end. Bye! Vincent. -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Vincent Leycuras wrote:> > Hi all, > > I just discovered R a couple of days ago and I must say it rocks. I've been > looking for heteroskedasticity tests and couldn't find any, however. > Particularly, I've been told in one of my courses on econometrics of White's > method (>< white.test()). > > The test's statistic is beta / sqrt(W), where W is Var(beta) "? la White", > that is the beta(i) matrix is replaced by the residuals matrix. > > Anyway, whatever anybody may haev, I'm interested, else I'll write it this > week-end.Have a look at the package 'tseries', available at CRAN. Uwe Ligges -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
hmctest() in package lmtest performs the Harrison-McCabe-Test against heteroskedasticity. Torsten -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._