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>.
| Version: | 1.0.0 |
| Imports: | methods, stats, Rcpp, CompQuadForm |
| LinkingTo: | Rcpp, RcppEigen |
| Published: | 2021-04-28 |
| Author: | David Preinerstorfer |
| Maintainer: | David Preinerstorfer <david.preinerstorfer at ulb.be> |
| License: | GPL-2 |
| NeedsCompilation: | yes |
| Citation: | hrt citation info |
| Materials: | NEWS |
| CRAN checks: | hrt results |
| Reference manual: | hrt.pdf |
| Package source: | hrt_1.0.0.tar.gz |
| Windows binaries: | r-devel: hrt_1.0.0.zip, r-devel-UCRT: hrt_1.0.0.zip, r-release: hrt_1.0.0.zip, r-oldrel: hrt_1.0.0.zip |
| macOS binaries: | r-release (arm64): hrt_1.0.0.tgz, r-release (x86_64): hrt_1.0.0.tgz, r-oldrel: hrt_1.0.0.tgz |
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