To cite heteroTests in publications, please use the entry below. See ?algorithms_bibliography for the primary reference behind each test.
Ribeiro D (2025). heteroTests: Heteroscedasticity Diagnostic Tools. R package version 0.11.2, https://github.com/DiogoRibeiro7/heteroTests.
Ribeiro D (2025). “heteroTests Vignette.” 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.
Breusch T, Pagan A (1979). “A Simple Test for Heteroscedasticity and Random Coefficient Variation.” 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.
Goldfeld S, Quandt R (1965). “Some tests for homoscedasticity.” 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.
Brown M, Forsythe A (1974). “Robust tests for the equality of variances.” 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.
Bartlett M (1937). “Properties of sufficiency and statistical tests.” 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.
Engle R (1982). “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation.” 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.
Cook R, Weisberg S (1983). “Diagnostics for heteroscedasticity in regression.” 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.
Cameron A, Trivedi P (1990). “The information matrix test and its applied alternative hypotheses.” University of California, Davis.
Spearman C (1904). “The proof and measurement of association between two things.” 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.
Greene W (2018). Econometric Analysis, 8 edition. Pearson.
Wooldridge J (2020). Introductory Econometrics: A Modern Approach, 7 edition. Cengage Learning.
Davidson R, MacKinnon J (2004). Econometric Theory and Methods. Oxford University Press.
Godfrey L (1988). Misspecification Tests in Econometrics. Cambridge University Press.
Fox J, Weisberg S (2019). An R Companion to Applied Regression, 3 edition. Sage Publications.
Kleiber C, Zeileis A (2008). Applied Econometrics with R. Springer-Verlag.
Efron B, Tibshirani R (1993). An Introduction to the Bootstrap. Chapman & Hall.
Retrieve citation information within R using citation('heteroTests')
Corresponding BibTeX entries:
@Manual{,
title = {heteroTests: Heteroscedasticity Diagnostic Tools},
author = {Diogo Ribeiro},
year = {2025},
url = {https://github.com/DiogoRibeiro7/heteroTests},
note = {R package version 0.11.2},
}
@Misc{,
title = {heteroTests Vignette},
author = {Diogo Ribeiro},
year = {2025},
url =
{https://diogoribeiro7.github.io/heteroTests/articles/using_heteroTests.html},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@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},
}
@Book{,
title = {Econometric Analysis},
author = {William H. Greene},
year = {2018},
edition = {8},
publisher = {Pearson},
}
@Book{,
title = {Introductory Econometrics: A Modern Approach},
author = {Jeffrey M. Wooldridge},
year = {2020},
edition = {7},
publisher = {Cengage Learning},
}
@Book{,
title = {Econometric Theory and Methods},
author = {Russell Davidson and James G. MacKinnon},
year = {2004},
publisher = {Oxford University Press},
}
@Book{,
title = {Misspecification Tests in Econometrics},
author = {Leslie G. Godfrey},
year = {1988},
publisher = {Cambridge University Press},
}
@Book{,
title = {An R Companion to Applied Regression},
author = {John Fox and Sanford Weisberg},
year = {2019},
edition = {3},
publisher = {Sage Publications},
}
@Book{,
title = {Applied Econometrics with R},
author = {Christian Kleiber and Achim Zeileis},
year = {2008},
publisher = {Springer-Verlag},
}
@Book{,
title = {An Introduction to the Bootstrap},
author = {Bradley Efron and Robert J. Tibshirani},
year = {1993},
publisher = {Chapman & Hall},
}