| wbsd-package {wbsd} | R Documentation |
Wild Bootstrap Size Diagnostics
Description
The package wbsd provides functions for testing affine hypotheses on the regression coefficient vector in linear
regression models with heteroskedastic errors based on the wild bootstrap.
In particular, it provides (i) the function theta to compute the value of the
diagnostic “theta” suggested in the article Pötscher and
Preinerstorfer (2020); and it provides (ii) the function boot.pval to obtain
bootstrap p-values. Various test statistics (null-restricted/unrestricted covariance estimator; classical F-test and F-tests based on HC0 - HC4 covariance estimators) are included.
The functions also cover various bootstrap schemes. We refer the user to Pötscher and Preinerstorfer (2020) for:
details concerning the framework, test statistics, bootstrap schemes,
the definition of theta (depending on the test statistic and scheme used), the
underlying theoretical results, and for further references.
References
Pötscher, B. M. and Preinerstorfer, D. (2020). How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? <arXiv:2005.04089>