Flashcards in Heteroskedasticity Deck (4)
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1
Q
Asymptotic distribution of the OLS estimator under heteroskedasticity
A
To estimate this asymptotic variance we can euse the sample counterpart (White standard erros)
2
Q
White formula for the asymptotic variance
A
This is just the sample counterpart of the “true” asymptotic variance
3
Q
Clustered SE
A
- Assumption: erros are indenpendent across groups
- There’s dependence within the group
- Consistency requires a big number of clusters
Note: arellano defined the distribution with the number of clusters
4
Q
WLS SE
A
