[R] Heteroskedasticity in R

Uwe Ligges
Thu, 07 Dec 2000 17:28:09 -0000

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