• nlmdl

  • Referenced in 119 articles [sw27811]
  • correct variance estimates for heteroskedasticity and/or serial correlation. For simultaneous nonlinear systems, possibly in implicit...
  • DEoptim

  • Referenced in 53 articles [sw08656]
  • Markov-Switching Generalized AutoRegressive Conditional Heteroskedasticity (MSGARCH) model for the returns of the Swiss Market...
  • fGarch

  • Referenced in 29 articles [sw09994]
  • package fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling: Environment for teaching ”Financial Engineering and Computational Finance...
  • xtabond2

  • Referenced in 24 articles [sw20376]
  • those fixed effects--idiosyncratic errors that are heteroskedastic and correlated within but not across individuals...
  • ivreg2

  • Referenced in 15 articles [sw31884]
  • option); kernel-based autocorrelation-consistent (AC) and heteroskedastic and autocorrelation-consistent (HAC) estimation, with user ... specified choice of kernel; Cragg’s ”heteroskedastic OLS” (HOLS) estimator; default reporting of large-sample...
  • psymonitor

  • Referenced in 6 articles [sw33867]
  • designed to mitigate the potential impact of heteroskedasticity and to effect family-wise size control...
  • boottest

  • Referenced in 5 articles [sw37419]
  • originally developed for regression models with heteroskedasticity of unknown form. Over the past 30 years...
  • OGLM

  • Referenced in 3 articles [sw14973]
  • models that explicitly specify the determinants of heteroskedasticity in an attempt to understand and correct ... variables that are allowed when modeling heteroskedasticity. Stata 9 or 10 users should use oglm9...
  • mss

  • Referenced in 2 articles [sw37464]
  • Stata module to perform heteroskedasticity test for quantile and OLS regressions. mss computes the Machado ... Revisited, Journal of Econometrics, 97, 189-202 ) heteroskedasticity test for quantile and OLS regressions...
  • hetGP

  • Referenced in 2 articles [sw40261]
  • package hetGP: Heteroskedastic Gaussian Process Modeling and Design under Replication. Performs Gaussian process regression with ... heteroskedastic noise following the model by Binois, M., Gramacy, R., Ludkovski, M. (2016) , with implementation...
  • vbdcast

  • Referenced in 3 articles [sw34857]
  • outbreaks: Phenomenological forecasting of disease incidence using heteroskedastic Gaussian processes: a dengue case study...
  • nnmatch

  • Referenced in 3 articles [sw37362]
  • select a bias adjustment; and to use heteroskedastic-robust variance estimators...
  • ARCH

  • Referenced in 2 articles [sw27756]
  • ARCH models in Python: Autoregressive Conditional Heteroskedasticity (ARCH) and other tools for financial econometrics, written...
  • npsf

  • Referenced in 2 articles [sw35585]
  • truncated normal models with conditional mean and heteroskedasticity. The marginal effects of determinants...
  • smashr

  • Referenced in 2 articles [sw39435]
  • data and Gaussian-distributed data, with possibly heteroskedastic error...
  • IVREG2H

  • Referenced in 1 article [sw31887]
  • module to perform instrumental variables estimation using heteroskedasticity-based instruments. ivreg2h estimates an instrumental variables ... that are uncorrelated with the product of heteroskedastic errors, which is a feature of many...
  • Ranktest

  • Referenced in 1 article [sw31899]
  • when disturbances are heteroskedastic or autocorrelated, the test statistics are no longer valid. The Kleibergen ... that are robust to various forms of heteroskedasticity, autocorrelation, and clustering...
  • avar

  • Referenced in 1 article [sw35589]
  • data robust to heteroskedasticity, autocorrelation, 1- and 2-way clustering, and common cross-panel autocorrelated ... assumption of iid data, including heteroskedasticity, autocorrelation, 1- and 2-way clustering, common cross-panel...
  • GARCH Toolbox

  • Referenced in 1 article [sw14890]
  • time series in the presence of conditional heteroskedasticity. Supporting functions perform tasks such...
  • ARCHModels.jl

  • Referenced in 1 article [sw36552]
  • ARCH models in Julia. ARCH (Autoregressive Conditional Heteroskedasticity) models are a class of models designed...