Heteroskedasticity consistent standard errors: Sandwich estimator explained (Excel)

Описание к видео Heteroskedasticity consistent standard errors: Sandwich estimator explained (Excel)

How to make your regression results robust in presence of heteroskedasticity? The most common technique is to compute the heteroskedasticity-consistent standard errors using the sandwich estimator of Huber and White. Today we are investigating this approach and learning to calculate the heteroskedasticity consistent covariance matrix in Excel.

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