• 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...