Heteroscedasticity Consistent Standard Errors
The post is about “Heteroscedasticity Consistent Standard Errors and Variances. $\sigma_i^2$ are rarely known. However, there is a way of obtaining consistent estimates of variances and covariances of OLS estimators even if there is heteroscedasticity. White’s Heteroscedasticity Consistent Standard Errors and Variances White’s heteroscedasticity-corrected standard errors are known as robust …