[R] Heteroskedasticity in R

Vincent Leycuras
Thu, 07 Dec 2000 17:03:49 -0000

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.