Re: [R] Codes; White's heteroscedasticity test and GARCH models

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Thu 27 Jul 2006 - 08:11:04 EST

Spyros:

> I have just recently started using R and was wondering whether anybody
> had a code written for White's heteroscedasticity correction for
> standard errors.

See package "sandwich", particularly functions vcovHC() and sandwich().

> Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean
> models for modelling regression residuals?

See function garch() in package "tseries".

Furthermore, the econometrics and finance task views might be helpful for you:
  http://CRAN.R-project.org/src/contrib/Views/Econometrics.html   http://CRAN.R-project.org/src/contrib/Views/Finance.html

hth,
Z



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