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2022年9月17日 · Second, and this has been pointed out in the theoretical literature before [e.g. Chesher and Jewitt, 1987], without having been appreciated in the empirical literature, problems with the standard robust EHW and LZ variances and confidence intervals can be substantial even with moderately large samples (such as 50 units / clusters) if the ...

2016年7月5日 · I'm running a couple of regressions and, as I wanted to be on the safe side, decided to use HAC (heteroskedasticity & autocorrelation consistent) standard errors throughout. There might be a few

2021年5月4日 · Short version. Considering the controversy regarding this practice and having learn that heteroscedasticity should be addressed differently, I wondered:

2015年7月11日 · I can't see how to replicate the calculation of WH standard errors for heteroscedastic data, as produced by the R packages sandwich / coeftest. Below is my attempt (coded in R): # install.packag...

2016年10月17日 · "Heteroscedasticity" makes it difficult to estimate the true standard deviation of the forecast errors. This can lead to confidence intervals that are too wide or too narrow (in particular they will be too narrow for out-of-sample predictions, if the variance of the errors is increasing over time).