[R] Heteroskedasticity in R
ligges at statistik.uni-dortmund.de
Thu Dec 7 18:28:09 CET 2000
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) "à 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
Have a look at the package 'tseries', available at CRAN.
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
More information about the R-help