R reg diag

When estimating regression models you will usually want to undertake some diagnostic testing. The functions we will use are all contained in the "AER" package

Heteroskedasticity

One of the Gauss-Markov assumption is that the variance of the regression error terms is constant. If they are not, then the OLS parameter estimators will not be efficient and one needs to use heteroskedasticity robust standard errors to obtain valid inference on regression coefficients (see R_robust_se).