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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