[R] Codes; White's heteroscedasticity test and GARCH models
Achim.Zeileis at wu-wien.ac.at
Thu Jul 27 00:11:04 CEST 2006
> 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
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