R help - Jul 2006 - Codes; White's heteroscedasticity test and GARCH models

Hello,
   
  I have just recently started using R and was wondering whether anybody had a
code written for White's heteroscedasticity correction for standard errors.
   
  Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean models for
modelling regression residuals?
   
   
  Thanks a lot in advance,
  Spyros

 		
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Check tseries and fSeries packages for GARCH

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Spiros Mesomeris
Sent: Wednesday, July 26, 2006 5:00 PM
To: r-help at stat.math.ethz.ch
Subject: [R] Codes; White's heteroscedasticity test and GARCH models

Hello,
   
  I have just recently started using R and was wondering whether anybody
had a code written for White's heteroscedasticity correction for
standard errors.
   
  Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean
models for modelling regression residuals?
   
   
  Thanks a lot in advance,
  Spyros

 		
---------------------------------

	[[alternative HTML version deleted]]

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Spyros:
>   I have just recently started using R and was wondering whether anybody
>   had a code written for White's heteroscedasticity correction for
>   standard errors.
See package "sandwich", particularly functions vcovHC() and
sandwich().
>   Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean
>   models for modelling regression residuals?
See function garch() in package "tseries".

Furthermore, the econometrics and finance task views might be helpful for
you:
  http://CRAN.R-project.org/src/contrib/Views/Econometrics.html
  http://CRAN.R-project.org/src/contrib/Views/Finance.html

hth,
Z