Eicker-Huber-White Robust Variance Estimator - Cross Validated
Jul 1, 2018 · Stack Exchange Network. Stack Exchange network consists of 183 Q&A communities including Stack Overflow, the largest, most trusted online community for …
Can robust standard errors be less than those from normal OLS?
Sep 17, 2022 · 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, …
time series - Using HAC standard errors although there might be …
Jul 5, 2016 · 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. …
When are heteroscedasticity-robust (Huber-White's) standard …
May 4, 2021 · Short version. Considering the controversy regarding this practice and having learn that heteroscedasticity should be addressed differently, I wondered:
How to calculate White-Huber standard errors by hand
Jul 11, 2015 · 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 …
heteroscedasticity - What are the consequences of having non …
Oct 17, 2016 · "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 …