hcci-package: Interval estimation for the parameters of linear models with...

In hcci: Interval estimation for the parameters of linear models with heteroskedasticity (Wild Bootstrap)

Description

This package calculates the interval estimates for the parameters of the models linares heteroskedasticity regression using bootstrap-t (Wild Bootstrap) and double bootstrap-t (Wild Bootstrap). It is also possible to calculate confidence intervals using the percentile bootstrap and percentile bootstrap double. It is also possible to calculate consistent estimates of the covariance matrix of the parameters of linear regression models with heteroskedasticity of unknown form. The package also provides function to calculate consistently the covariance matrix of the parameters of linear models with heteroskedasticity of unknown form.

Details

Package:	hcci
Type:	Package
Version:	1.0.0
Date:	2013-09-18
License:	GPL (>=2)

Author(s)

Maintainer: Pedro Rafael Diniz Marinho <[e-mail]>

Contributor: Francisco Cribari Neto <[e-mail]>

References

Cribari-Neto, F. (2004). Asymptotic inference under heteroskedasticity of unknown form. Computational Statistics and Data Analysis, 45, 215-233.

Cribari-Neto, F.; Lima, M.G. (2009). Heteroskedasticity-consistent interval estimators. Journal of Statistical Computation and Simulation, 79, 787-803;

Cribari-Neto, F.; Souza, T.C.; Vasconcellos, K.L.P. (2007). Inference under heteros- kedasticity and leveraged data. Communications in Statistics, Theory and Methods, 36, 1877-1888. [Errata: 37, 2008, 3329-3330.]

Horn, S.D.; Horn, R.A.; Duncan, D.B. (1975). Estimating heteroskedastic variances in linear models. Journal of the American Statistical Association, 70, 380-385.

MacKinnon, J.G.; White, H. (1985). Some heteroskedasticity-consistent covariance matrix estimators with improved finite-sample properties. Journal of Econometrics, 29, 305-325.

McCullough, B.D; Vinod, H.D. (1998). Implementing the double bootstrap, 12, 79-95.

White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48, 817-838.

Wu, C.F.J. (1986). Jackknife, bootstrap and other resampling methods in regression analysis, 14, 1261-1295;

hcci documentation built on May 2, 2019, 2:07 a.m.