[R] Complements about heteroscedasticity
E97249 at edu.essec.fr
Sat Dec 9 12:06:50 CET 2000
A couple of days ago, I posted a message regarding the support for heteroscedasticity testing in R. In fact, there are several tests and methods to assess whether the residuals of a model are heteroscedastic or not. The one for which I was claiming information can be found in William Greene's "Econometric Analysis", chapter 12. It's about White's *estimator*, not test, and it consists in replacing the beta's variance's traditionnal estimator by a new one calculated with the least squares residuals (instead of sigma square).
>From there, a new regression is performed that supposedly corrects the coefficents.
There is also a White test for heteroscadsticity, but it is said to be extremely general (Greene, p.508), and it uses the White's estimator described above.
SO, the only thing that seems to be missing in R is the calculation of that very estimator, and the new regression that can be performed from it. If, anyone else than myself is interested in this feature, please let me know.
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