Package: hrt
Type: Package
Title: Heteroskedasticity Robust Testing
Version: 1.0.2
Date: 2025-04-14
Authors@R: person(given = "David", family = "Preinerstorfer",
                    role = c("aut", "cre"), email = "david.preinerstorfer@wu.ac.at")
Maintainer: David Preinerstorfer <david.preinerstorfer@wu.ac.at>
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" <doi:10.48550/arXiv.2104.12597>, which will appear as <doi:10.1017/S0266466623000269>.
License: GPL-2
Imports: methods, stats, Rcpp, CompQuadForm
LinkingTo: Rcpp, RcppEigen
NeedsCompilation: yes
Packaged: 2025-04-16 08:58:32 UTC; preid
Repository: CRAN
Date/Publication: 2025-04-17 07:20:05 UTC
Author: David Preinerstorfer [aut, cre]
Built: R 4.6.0; x86_64-apple-darwin20; 2025-08-18 03:41:37 UTC; unix
Archs: hrt.so.dSYM
