[R] Codes; White's heteroscedasticity test and GARCH models
Hello, I have just recently started using R and was wondering whether anybody had a code written for White's heteroscedasticity correction for standard errors. Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean models for modelling regression residuals? Thanks a lot in advance, Spyros - [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Codes; White's heteroscedasticity test and GARCH models
Check tseries and fSeries packages for GARCH -Original Message- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Spiros Mesomeris Sent: Wednesday, July 26, 2006 5:00 PM To: r-help@stat.math.ethz.ch Subject: [R] Codes; White's heteroscedasticity test and GARCH models Hello, I have just recently started using R and was wondering whether anybody had a code written for White's heteroscedasticity correction for standard errors. Also, can anybody share a code for the GARCH(1,1) and GARCH-in-mean models for modelling regression residuals? Thanks a lot in advance, Spyros - [[alternative HTML version deleted]] __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Codes; White's heteroscedasticity test and GARCH models
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 __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
