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Everything about Heteroskedasticity-consistent standard errors
Asymptotic variances under heteroskedasticity
The topic of heteroskedasticity-consistent (HC) standard errors arises in statistics and econometrics in the context of linear regression and time series analysis. These are also known as heteroskedasticity-robust standard errors, Eicker–Huber–White standard errors, to recognize the contributions of Friedhelm Eicker, Peter J. Huber, and Halbert White. Wikipedia →
🧠Start here: a 6-step reading path
- Read the overview: Heteroskedasticity-consistent standard errorsA 5-minute orientation
- Read the landmark paper: Using Heteroscedasticity Consistent Standard Errors in the Linear Regression ModelCited 2,039 times
- Go sideways: Gauss–Markov theoremA closely related topic
- Go sideways: Principal component regressionA closely related topic
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🏆 Landmark papers (most cited)
Using Heteroscedasticity Consistent Standard Errors in the Linear Regression Model
Using heteroskedasticity-consistent standard error estimators in OLS regression: An introduction and software implementation
Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors
Using Heteroskedasticity-Consistent Standard Errors and the Bootstrap for Linear Regression Analysis Available in SPSS: A Tutorial
Consistent standard errors for semiparametric duration models with unobserved heterogeneity
"Few Determinats Of The Average Amounts Of Money Tourists Spend While Visiting Alba County. A Regression Model Considering White's Heteroskedasticity- Consistent Standard Errors & The Covariance And Different We "
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