# Heteroskedasticity correction

After I ran a bptest and I detected heteroskedasticity, I want to correct for it.

What is the difference between the functions HC1, HC2 and HC3 in R?

bptest(model2) model3 <- coeftest(model2, vcov. = vcovHC(model2, type = "HC3"))

• Apparently "HC" gives White's estimator, so the answer is hidden somewhere in MacKinnon J. G., White H. (1985), Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties. Journal of Econometrics 29, 305-325. – user2974951 Dec 18 '18 at 9:17