Calculates the interval estimates for the parameters of linear models with heteroscedastic regression using bootstrap  (Wild Bootstrap) and double bootstrapt (Wild Bootstrap). It is also possible to calculate confidence intervals using the percentile bootstrap and percentile bootstrap double. The package can calculate consistent estimates of the covariance matrix of the parameters of linear regression models with heteroscedasticity of unknown form. The package also provides a function to consistently calculate the covariance matrix of the parameters of linear models with heteroscedasticity of unknown form. The bootstrap methods exported by the package are based on the master's thesis of the first author, available at <https://raw.githubusercontent.com/prdm0/hcci/master/references/dissertacao_mestrado.pdf>. The hcci package in previous versions was cited in the book VINOD, Hrishikesh D. Handson Intermediate Econometrics Using R: Templates for Learning Quantitative Methods and R Software. 2022, p. 441, ISBN 9789811256172 (hardcover). The simple bootstrap schemes are based on the works of CribariNeto F and Lima M. G. (2009) <doi:10.1080/00949650801935327>, while the double bootstrap schemes for the parameters that index the linear models with heteroscedasticity of unknown form are based on the works of Beran (1987) <doi:10.2307/2336685>. The use of bootstrap for the calculation of interval estimates in regression models with heteroscedasticity of unknown form from a weighting of the residuals was proposed by Wu (1986) <doi:10.1214/aos/1176350142>. This bootstrap scheme is known as weighted or wild bootstrap.
Package details 


Author  Pedro Rafael Diniz Marinho [aut, cre], Francisco Cribari Neto [aut, ctb] 
Maintainer  Pedro Rafael Diniz Marinho <pedro.rafael.marinho@gmail.com> 
License  GPL (>= 3) 
Version  1.1.0 
URL  https://github.com/prdm0/hcci 
Package repository  View on CRAN 
Installation 
Install the latest version of this package by entering the following in R:

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