skedastic (0.1.0)

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Heteroskedasticity Diagnostics for Linear Regression Models.

http://github.com/tjfarrar/skedastic
http://cran.r-project.org/web/packages/skedastic

Implements numerous methods for detecting heteroskedasticity (sometimes called heteroscedasticity) in the classical linear regression model. These include the parametric and nonparametric tests of Goldfeld and Quandt (1965) , the test of Glejser (1969) as formulated by Mittelhammer, Judge and Miller (2000, ISBN: 0-521-62394-4), the BAMSET Test of Ramsey (1969) , which uses the BLUS residuals derived by Theil (1965) , the test of Harvey (1976) , the test of Breusch and Pagan (1979) with and without the modification proposed by Koenker (1981) , the test of White (1980) , the test and graphical Cook and Weisberg (1983) , and the test of Li and Yao (2019) . Homoskedasticity refers to the assumption of constant variance that is imposed on the model errors (disturbances); heteroskedasticity is the violation of this assumption.

Maintainer: Thomas Farrar
Author(s): Thomas Farrar [aut, cre] (<https://orcid.org/0000-0003-0744-6972>), University of the Western Cape [cph]

License: MIT + file LICENSE

Uses: broom, car, gmp, het.test, lmtest, lubridate, magrittr, matrixcalc, pracma, Rdpack, Rmpfr, tibble, tseries

Released 3 months ago.


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