Package: hrt
Type: Package
Title: Heteroskedasticity Robust Testing
Version: 1.0.1
Date: 2021-09-08
Author: David Preinerstorfer 
Maintainer: David Preinerstorfer <david.preinerstorfer@ulb.be>
Description: 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>.
License: GPL-2
Imports: methods, stats, Rcpp, CompQuadForm
LinkingTo: Rcpp, RcppEigen
NeedsCompilation: yes
Packaged: 2021-09-08 09:26:46 UTC; DPreinerstorfer
Repository: CRAN
Date/Publication: 2021-09-08 11:50:02 UTC
Built: R 4.1.1; aarch64-apple-darwin20; 2021-09-08 18:43:45 UTC; unix
Archs: hrt.so.dSYM
