het.test (version 0.1)

het.htest-package: Package for White's Test for Heteroskedasticity

Description

Tests for heteroskedastic residuals in a VAR model.

Details

Package:

het.test

Type:

Package

Version:

0.1

Date:

2013-02-27

License:

GPL-2

Depends:

vars, methods

The test function is whites.htest().

References

Doornik, J. A. (1996). Testing vector error autocorrelation and heteroscedasticity. unpublished paper, Nuffield College.

Examples

library(vars)
dataset <- data.frame(x=rnorm(100), y=rnorm(100))
model1 <- VAR(dataset, p = 1)
whites.htest(model1)