New heteroskedasticity-robust standard errors for the linear regression model
نویسندگان
چکیده
منابع مشابه
Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for panel data with serially uncorrelated errors, is inconsistent if the number of time periods T is fixed (and greater than 2) as the number of entities n increases. We provide a bias-adjusted HR estim...
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ژورنال
عنوان ژورنال: Brazilian Journal of Probability and Statistics
سال: 2014
ISSN: 0103-0752
DOI: 10.1214/12-bjps196