[R] Heteroskedasticity in R
e97249 at edu.essec.fr
Thu Dec 7 18:03:49 CET 2000
I just discovered R a couple of days ago and I must say it rocks. I've been
looking for heteroskedasticity tests and couldn't find any, however.
Particularly, I've been told in one of my courses on econometrics of White's
method (>< white.test()).
The test's statistic is beta / sqrt(W), where W is Var(beta) "à la White",
that is the beta(i) matrix is replaced by the residuals matrix.
Anyway, whatever anybody may haev, I'm interested, else I'll write it this
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