heteroskedasticity robust standard errorsheterosked asticity robust standard errors 异增塑性稳健标准误差 重点词汇 robust强健的;坚固的;强劲的;耐用的;结实的;强壮的;坚定的;富有活力的 errors错误;差错;谬误; error的复数©2022 Baidu |由 百度智能云 提供计算服务 | 使用百度前必读 | 文库协议 | 网站地图 ...
Inlinear regression analysis, anestimator of the asymptotic covariance matrixof the OLS estimator is said to be heteroskedasticity-robust if it converges asymptotically to the true value even when the variance of the errors of the regression is not constant. In this case, also the standard errors,...
Bayesian Heteroskedasticity-Robust Standard Errors Richard Startz * August 2012 Abstract Use of heteroskedasticity-robust standard errors has become common in frequentist regressions. I offer here a Bayesian analog. The Bayesian version is derived by first focusing on the likelihood function for the sampl...
cluster-robust standard errors aresmaller than unclusteredones in fgls with cluster fixed effects. What is heteroskedasticity robust standard error? We call these standard errors heteroskedasticity-consistent (HC) standard errors. ... Heteroskedasticity just meansnon-constant variance. These estimates are ...
Heteroskedasticity‐Robust Standard Errors for Dynamic Panel Data Models with Fixed Effects For linear panel data models with fixed effects, cluster‐robust covariance estimation does not use variability over time. The extant heteroskedasticity‐r... C Han,H Kim - 《Oxford Bulletin of Economics & ...
Robust standard errors can be used whenthe assumption of uniformity of variance, also known as homoscedasticity, in a linear-regression model is violated. This situation, known as heteroscedasticity, implies that the variance of the outcome is not constant across observations. ...
Heteroskedasticity-robust standard errors Under fairly weak assumptions, we can prove (seehere) that the asymptotic covariance matrix of is where is the so-called long-run covariance matrix. In a sufficiently large sample, the covariance matrix of ...
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...
I am now wondering whether "xtivreg2, fe" with the options "small" and "robust" for a simple fixed effects model reports the bias-corrected standard errors proposed by Stock & Watson (2008) to tackle the problem that the estimated standard errors à la White (1980) are inconsistent when ...
© 陈强，《计量经济学及Stata应用》，2014年。请勿上传或散发。第6章 异方差 6.1 异方差的后果 “异方差”(heteroskedasticity)是违背球型扰动项假设的一种情形，即Var(|)X依赖于i，不是常数。在异方差的情 i 况下：(1) OLS估计量依然无偏、一致且渐近正态，因为在证明这些性质时并未用到“同方差”的...