1.1、普通标准误(robuststandard error) 1.2、稳健标准误(Heteroskedasticity-RobustStandard Error) 1.3、聚类稳健标准误(Cluster-RobustStandard Errors) 1.4、聚类到哪个层面 2、三者联系 3、stata代码实现 3.1 普通标准误回归命令: 3.2 稳健标准误回归命令: 3.3 聚类稳健标准误回归命令: 4、聚类到行业(企业)层面与行...
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,...
76, No. 1 (January, 2008), 155–174HETEROSKEDASTICITY-ROBUST STANDARD ERRORS FORFIXED EFFECTS PANEL DATA REGRESSIONJ AMES H. S TOCKHarvard University, Cambridge, MA 02138, U.S.A., and NBERM ARK W. W ATSONWoodrow Wilson School, Princeton University, Princeton, NJ 08544, U.S.A., and ...
Heteroskedasticity-consistent standard errors are used to allow the fitting of a model that does contain heteroskedastic residuals. The first such approach
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...
standard errors are robust to heteroskedasticity and clustering 标准误差是使用在异方差和聚类方面 standard 举例：Apple may simply choose to wait and introduce a handset that uses the next generation TD-LTE standard, Wu writes.苹果可以简单地选择等待，然后推出使用下一代...
The extant heteroskedasticity‐robust methods available under strict exogeneity do not generalize to dynamic models. We propose novel robust covariance estimators under a strong version of serial uncorrelatedness, where serial uncorrelatedness is required to identify dynamic panel models. Asymptotics are ...
Robust Standard Errors for Robust:强大的稳健标准误差 热度: 标准误差对效应量解释的影响 热度: Introduction to Fixed Effects Methods - SAS:介绍了固定效应方法的SAS 热度: Heteroskedasticity-RobustStandardErrorsforFixedEffectsPanelDataRegression May26,2006 ...
panel observations 0.49 5.69脙脙脙 91 0.44 1.04 84 0.53 13.94脙脙脙 91 0.51 11.55脙脙脙 91 Notes: White heteroskedasticity-consistent standard errors are... S Ederveen,HLFD Groot,R Nahuis - 《Kyklos》 被引量: 359发表: 2006年 Panel Unit Root Tests in the Presence of Cross-Sectional Depend...