README.md

In mikkelsoelvsten/manyRegressors: Inference with Many Regressors and Heteroskedasticity

manyRegressors

R package for inference in models with heteroskedasticity and many regressors.

To install the package, run the following code in R

install.packages("devtools") # Only needed if you do not have devtools already
devtools::install_github("mikkelsoelvsten/manyRegressors")

Included functions

LOFtest Test a hypothesis that imposes many restrictions in a linear regression with many regressors and heteroskedasticity.

LOvcov Variance-covariance estimator that is robust to heteroskedasticity and many regressors.

References

Kline, Saggio, and Sølvsten (2019). Leave-out estimation of variance components. https://arxiv.org/abs/1806.01494

Anatolyev and Sølvsten (2020). Testing Many Restrictions Under Heteroskedasticity. https://arxiv.org/abs/2003.07320

mikkelsoelvsten/manyRegressors documentation built on Dec. 6, 2020, 6:23 a.m.