hrt: Heteroskedasticity Robust Testing

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:	1.0.1
Imports:	methods, stats, Rcpp, CompQuadForm
LinkingTo:	Rcpp, RcppEigen
Published:	2021-09-08
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

Documentation:

Reference manual:

hrt.pdf

Downloads:

Package source:	hrt_1.0.1.tar.gz
Windows binaries:	r-devel: hrt_1.0.1.zip, r-release: hrt_1.0.1.zip, r-oldrel: hrt_1.0.1.zip
macOS binaries:	r-release (arm64): hrt_1.0.1.tgz, r-oldrel (arm64): hrt_1.0.1.tgz, r-release (x86_64): hrt_1.0.1.tgz, r-oldrel (x86_64): hrt_1.0.1.tgz
Old sources:	hrt archive

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