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Heteroskedasticity consistent standard errors: Sandwich estimator explained (Excel)
Автор: NEDL
Загружено: 2021-06-01
Просмотров: 4329
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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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