hrt: Heteroskedasticity Robust Testing

Functions for testing affine hypotheses on the regression coefficient vector in regression models with heteroskedastic errors: (i) a function for computing various test statistics (in particular using HC0-HC4 covariance estimators based on unrestricted or restricted residuals); (ii) a function for numerically approximating the size of a test based on such test statistics and a user-supplied critical value; and, most importantly, (iii) a function for determining size-controlling critical values for such test statistics and a user-supplied significance level (also incorporating a check of conditions under which such a size-controlling critical value exists). The three functions are based on results in Poetscher and Preinerstorfer (2021) "Valid Heteroskedasticity Robust Testing" <arXiv:2104.12597>.

Version: 1.0.1
Imports: methods, stats, Rcpp, CompQuadForm
LinkingTo: Rcpp, RcppEigen
Published: 2021-09-08
Author: David Preinerstorfer
Maintainer: David Preinerstorfer <david.preinerstorfer at ulb.be>
License: GPL-2
NeedsCompilation: yes
Citation: hrt citation info
Materials: NEWS
CRAN checks: hrt results

Downloads:

Reference manual: hrt.pdf
Package source: hrt_1.0.1.tar.gz
Windows binaries: r-devel: hrt_1.0.1.zip, r-devel-UCRT: hrt_1.0.1.zip, r-release: hrt_1.0.1.zip, r-oldrel: hrt_1.0.1.zip
macOS binaries: r-release (arm64): hrt_1.0.1.tgz, r-release (x86_64): hrt_1.0.1.tgz, r-oldrel: hrt_1.0.1.tgz
Old sources: hrt archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=hrt to link to this page.