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hcinfer: Heteroskedasticity-Consistent Inference for Linear Models

Performs heteroskedasticity-consistent inferences in linear regressions under heteroskedasticity. The published HC0 through HC5m estimators implemented in the package follow White (1980) <doi:10.2307/1912934>, Hinkley (1977) <doi:10.1080/00401706.1977.10489550>, MacKinnon and White (1985) <doi:10.1016/0304-4076(85)90158-7>, Cribari-Neto (2004) <doi:10.1016/S0167-9473(02)00366-3>, Cribari-Neto and da Silva (2011) <doi:10.1007/s10182-010-0141-2>, Cribari-Neto et al. (2007) <doi:10.1080/03610920601126589> with its erratum <doi:10.1080/03610920802109210>, and Li et al. (2016) <doi:10.1080/00949655.2016.1198906>. The package also includes HCbeta, a new estimator proposed by the package authors. It additionally provides feasible generalized least squares estimation under multiplicative heteroskedasticity following Harvey (1976) <doi:10.2307/1913974> and Cribari-Neto and Pereira (2019) <doi:10.1080/00949655.2019.1586902>, with two-step and maximum likelihood fitting and information criteria for the likelihood fit. It provides normal Wald tests, confidence intervals, diagnostics, and S3 output for applied inference.

Version: 0.3.0
Depends: R (≥ 4.1.0)
Imports: cli, ggplot2, purrr, rlang, tibble
Suggests: carrier, dplyr, knitr, mirai, rmarkdown, testthat (≥ 3.0.0), withr
Published: 2026-08-25
DOI: 10.32614/CRAN.package.hcinfer
Author: Pedro Rafael D. Marinho ORCID iD [aut, cre], Francisco Cribari-Neto ORCID iD [aut], Marina Oliveira Cunha ORCID iD [aut]
Maintainer: Pedro Rafael D. Marinho <pedro.rafael.marinho at gmail.com>
BugReports: https://github.com/prdm0/hcinfer/issues
License: MIT + file LICENSE
URL: https://prdm0.github.io/hcinfer/, https://github.com/prdm0/hcinfer
NeedsCompilation: no
Materials: README, NEWS
CRAN checks: hcinfer results

Documentation:

Reference manual: hcinfer.html , hcinfer.pdf
Vignettes: Pairs bootstrap inference with hcinfer (source, R code)
Comparing HC Estimators (source, R code)
Feasible GLS under multiplicative heteroskedasticity (source, R code)
The HCbeta algorithm and its consistency (source, R code)
Using HCbeta (source, R code)
HC Estimator Methodology (source, R code)
Introduction to hcinfer (source, R code)

Downloads:

Package source: hcinfer_0.3.0.tar.gz
Windows binaries: r-devel: hcinfer_0.2.0.zip, r-release: hcinfer_0.2.0.zip, r-oldrel: hcinfer_0.2.0.zip
macOS binaries: r-release (arm64): hcinfer_0.2.0.tgz, r-oldrel (arm64): hcinfer_0.2.0.tgz, r-release (x86_64): hcinfer_0.2.0.tgz, r-oldrel (x86_64): hcinfer_0.2.0.tgz
Old sources: hcinfer archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.