[R] Heteroskedasticity in R

[Uwe Ligges]

Vincent Leycuras wrote:
> 
> Hi all,
> 
> 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
> week-end.

Have a look at the package 'tseries', available at CRAN.

Uwe Ligges
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