Skip to contents

Authors and Citation

Authors

  • Diogo Ribeiro. Author, maintainer.

Citation

Source: inst/CITATION

Ribeiro D (2025). heteroTests: Heteroscedasticity Diagnostic Tools. R package version 0.11.2, https://github.com/DiogoRibeiro7/heteroTests. 

@Manual{,
  title = {heteroTests: Heteroscedasticity Diagnostic Tools},
  author = {Diogo Ribeiro},
  year = {2025},
  url = {https://github.com/DiogoRibeiro7/heteroTests},
  note = {R package version 0.11.2},
}

See the vignette for a detailed introduction to all diagnostics.

@Misc{,
  title = {heteroTests Vignette},
  author = {Diogo Ribeiro},
  year = {2025},
  url = {https://diogoribeiro7.github.io/heteroTests/articles/using_heteroTests.html},
}

White H (1980). “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica. doi:10.2307/1912934. 

@Article{,
  title = {A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity},
  author = {Halbert White},
  year = {1980},
  journal = {Econometrica},
  doi = {10.2307/1912934},
}

Breusch T, Pagan A (1979). “A Simple Test for Heteroscedasticity and Random Coefficient Variation.” Econometrica. doi:10.2307/1911963. 

@Article{,
  title = {A Simple Test for Heteroscedasticity and Random Coefficient Variation},
  author = {Trevor S. Breusch and Adrian R. Pagan},
  year = {1979},
  journal = {Econometrica},
  doi = {10.2307/1911963},
}

Koenker R (1981). “A note on studentizing a test for heteroscedasticity.” Journal of Econometrics. doi:10.1016/0304-4076(81)90062-2. 

@Article{,
  title = {A note on studentizing a test for heteroscedasticity},
  author = {Roger Koenker},
  year = {1981},
  journal = {Journal of Econometrics},
  doi = {10.1016/0304-4076(81)90062-2},
}

Goldfeld S, Quandt R (1965). “Some tests for homoscedasticity.” Journal of the American Statistical Association. doi:10.2307/2283047. 

@Article{,
  title = {Some tests for homoscedasticity},
  author = {Stephen M. Goldfeld and Richard E. Quandt},
  year = {1965},
  journal = {Journal of the American Statistical Association},
  doi = {10.2307/2283047},
}

Levene H (1960). “Robust Tests for Equality of Variances.” In Contributions to Probability and Statistics, 278-292. Stanford University Press, Stanford, CA. 

@InCollection{,
  title = {Robust Tests for Equality of Variances},
  author = {Howard Levene},
  booktitle = {Contributions to Probability and Statistics},
  pages = {278-292},
  publisher = {Stanford University Press},
  address = {Stanford, CA},
  year = {1960},
}

Brown M, Forsythe A (1974). “Robust tests for the equality of variances.” Journal of the American Statistical Association. doi:10.1080/01621459.1974.10482955. 

@Article{,
  title = {Robust tests for the equality of variances},
  author = {Morton B. Brown and Alan B. Forsythe},
  year = {1974},
  journal = {Journal of the American Statistical Association},
  doi = {10.1080/01621459.1974.10482955},
}

Fligner M, Killeen T (1976). “Distribution-free two-sample tests for scale.” Journal of the American Statistical Association. doi:10.1080/01621459.1976.10481517. 

@Article{,
  title = {Distribution-free two-sample tests for scale},
  author = {Michael A. Fligner and Thomas J. Killeen},
  year = {1976},
  journal = {Journal of the American Statistical Association},
  doi = {10.1080/01621459.1976.10481517},
}

Bartlett M (1937). “Properties of sufficiency and statistical tests.” Proceedings of the Royal Society of London. doi:10.1098/rspa.1937.0109. 

@Article{,
  title = {Properties of sufficiency and statistical tests},
  author = {Maurice S. Bartlett},
  year = {1937},
  journal = {Proceedings of the Royal Society of London},
  doi = {10.1098/rspa.1937.0109},
}

Hartley H (1950). “The maximum F-ratio as a short-cut test for heterogeneity of variance.” Biometrika. doi:10.2307/2332383. 

@Article{,
  title = {The maximum F-ratio as a short-cut test for heterogeneity of variance},
  author = {Harold O. Hartley},
  year = {1950},
  journal = {Biometrika},
  doi = {10.2307/2332383},
}

Engle R (1982). “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation.” Econometrica. doi:10.2307/1912773. 

@Article{,
  title = {Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation},
  author = {Robert F. Engle},
  year = {1982},
  journal = {Econometrica},
  doi = {10.2307/1912773},
}

McLeod A, Li W (1983). “Diagnostic checking ARMA time series models using squared-residual autocorrelations.” Journal of Time Series Analysis. doi:10.1111/j.1467-9892.1983.tb00373.x. 

@Article{,
  title = {Diagnostic checking ARMA time series models using squared-residual autocorrelations},
  author = {A. Ian McLeod and Wai Keung Li},
  year = {1983},
  journal = {Journal of Time Series Analysis},
  doi = {10.1111/j.1467-9892.1983.tb00373.x},
}

Cook R, Weisberg S (1983). “Diagnostics for heteroscedasticity in regression.” Biometrika. doi:10.1093/biomet/70.1.1. 

@Article{,
  title = {Diagnostics for heteroscedasticity in regression},
  author = {R. Dennis Cook and Sanford Weisberg},
  year = {1983},
  journal = {Biometrika},
  doi = {10.1093/biomet/70.1.1},
}

O'Brien R (1979). “A general ANOVA method for robust tests of additive models for variances.” Journal of the American Statistical Association. doi:10.1080/01621459.1979.10481047. 

@Article{,
  title = {A general ANOVA method for robust tests of additive models for variances},
  author = {R. Gerald O'Brien},
  year = {1979},
  journal = {Journal of the American Statistical Association},
  doi = {10.1080/01621459.1979.10481047},
}

Cameron A, Trivedi P (1990). “The information matrix test and its applied alternative hypotheses.” University of California, Davis. 

@TechReport{,
  title = {The information matrix test and its applied alternative hypotheses},
  author = {A. Colin Cameron and Pravin K. Trivedi},
  institution = {University of California, Davis},
  year = {1990},
}

Spearman C (1904). “The proof and measurement of association between two things.” The American Journal of Psychology. doi:10.2307/1412159. 

@Article{,
  title = {The proof and measurement of association between two things},
  author = {Charles Spearman},
  year = {1904},
  journal = {The American Journal of Psychology},
  doi = {10.2307/1412159},
}

Cameron A (1991). “Regression based tests of heteroskedasticity in models where the variance depends on the mean.” Technical Report WP-379, Department of Economics, University of California, Davis. https://cameron.econ.ucdavis.edu/research/regressionbasedtests_heteroskedasticity_ucdwp379.pdf. 

@TechReport{,
  title = {Regression based tests of heteroskedasticity in models where the variance depends on the mean},
  author = {A. Colin Cameron},
  institution = {Department of Economics, University of California, Davis},
  number = {WP-379},
  year = {1991},
  url = {https://cameron.econ.ucdavis.edu/research/regressionbasedtests_heteroskedasticity_ucdwp379.pdf},
}

Greene W (2018). Econometric Analysis, 8 edition. Pearson. 

@Book{,
  title = {Econometric Analysis},
  author = {William H. Greene},
  year = {2018},
  edition = {8},
  publisher = {Pearson},
}

Wooldridge J (2020). Introductory Econometrics: A Modern Approach, 7 edition. Cengage Learning. 

@Book{,
  title = {Introductory Econometrics: A Modern Approach},
  author = {Jeffrey M. Wooldridge},
  year = {2020},
  edition = {7},
  publisher = {Cengage Learning},
}

Davidson R, MacKinnon J (2004). Econometric Theory and Methods. Oxford University Press. 

@Book{,
  title = {Econometric Theory and Methods},
  author = {Russell Davidson and James G. MacKinnon},
  year = {2004},
  publisher = {Oxford University Press},
}

Godfrey L (1988). Misspecification Tests in Econometrics. Cambridge University Press. 

@Book{,
  title = {Misspecification Tests in Econometrics},
  author = {Leslie G. Godfrey},
  year = {1988},
  publisher = {Cambridge University Press},
}

Fox J, Weisberg S (2019). An R Companion to Applied Regression, 3 edition. Sage Publications. 

@Book{,
  title = {An R Companion to Applied Regression},
  author = {John Fox and Sanford Weisberg},
  year = {2019},
  edition = {3},
  publisher = {Sage Publications},
}

Kleiber C, Zeileis A (2008). Applied Econometrics with R. Springer-Verlag. 

@Book{,
  title = {Applied Econometrics with R},
  author = {Christian Kleiber and Achim Zeileis},
  year = {2008},
  publisher = {Springer-Verlag},
}

Efron B, Tibshirani R (1993). An Introduction to the Bootstrap. Chapman & Hall. 

@Book{,
  title = {An Introduction to the Bootstrap},
  author = {Bradley Efron and Robert J. Tibshirani},
  year = {1993},
  publisher = {Chapman & Hall},
}