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>.
Package details |
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Author | David Preinerstorfer |
Maintainer | David Preinerstorfer <david.preinerstorfer@ulb.be> |
License | GPL-2 |
Version | 1.0.1 |
Package repository | View on CRAN |
Installation |
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