Скачать или смотреть What are the Heteroskedasticity-Robust Standard Error and Robust t-statistic? | Topic 70

01:29 Heteroskedasticity-Robust Standard Error and t-statistic
05:19 Comparison between Robust and Usual Standard Errors and t-statistics

【Five Minute Econometrics】(Econometric Tutorials)
Topic 70: What are the Heteroskedasticity-Robust Standard Error and Robust t-statistic?

Hi, I am Bob. Welcome back to Five Minute Econometrics. We just learned that if the variance of the error term is not constant, the usual standard errors and t-statistics are not valid. Today, we will explore how to adjust standard errors and t-statistics to make them valid in the presence of heteroskedasticity. It is called the heteroskedasticity-robust standard error or just the robust standard error. It applies to cases when we do not know the form of the variance of the error term. In the presence of heteroskedasticity of unknown form, the robust standard error and the robust t-statistic will be valid in statistical inference.


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