About: Heteroskedasticity-consistent standard errors

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The topic of heteroskedasticity-consistent (HC) standard errors arises in statistics and econometrics in the context of linear regression and time series analysis. These are also known as heteroskedasticity-robust standard errors (or simply robust standard errors), Eicker–Huber–White standard errors (also Huber–White standard errors or White standard errors), to recognize the contributions of Friedhelm Eicker, Peter J. Huber, and Halbert White.

Attributes	Values
rdfs:label	Heteroskedasticity-consistent standard errors (en) Стандартные ошибки в форме Уайта (ru)
rdfs:comment	Стандартные ошибки в форме Уайта или состоятельные при гетероскедастичности стандартные ошибки (HC s.e. — Heteroskedasticity consistent standard errors) — применяемая в эконометрике оценка ковариационной матрицы (в частности и стандартных ошибок) МНК-оценок параметров линейной модели регрессии, которая состоятельна при гетероскедастичности случайных ошибок модели, альтернативная стандартной (классической) оценке, которая в данном случае является несостоятельной. (ru) The topic of heteroskedasticity-consistent (HC) standard errors arises in statistics and econometrics in the context of linear regression and time series analysis. These are also known as heteroskedasticity-robust standard errors (or simply robust standard errors), Eicker–Huber–White standard errors (also Huber–White standard errors or White standard errors), to recognize the contributions of Friedhelm Eicker, Peter J. Huber, and Halbert White. (en)
dcterms:subject	Regression analysis Regression with time series structure Simultaneous equation methods (econometrics) Estimation methods
Wikipage page ID	12868239 (xsd:integer)
Wikipage revision ID	1112691390 (xsd:integer)
Link from a Wikipage to another Wikipage	Python (programming language) Delta method Regression analysis Regression with time series structure Julia (programming language) Peter J. Huber Leverage (statistics) Probit Maximum likelihood estimation Errors and residuals Generalized estimating equation Quasi-maximum likelihood estimate Friedhelm Eicker GARCH Generalized least squares Generalized method of moments Logit MATLAB Stata Statistics Clustered standard errors Simultaneous equation methods (econometrics) BLUE William Greene (economist) Errors and residuals in statistics Linear regression EViews Gretl Halbert White Estimation methods Econometrics Time series analysis Ordinary least squares R (programming language) Weighted least squares Newey–West estimator Political Analysis (journal) White test Uncorrelated RATS (statistical package) Heteroskedasticity Time-series
Link from a Wikipage to an external page	http://www.statsmodels.org/dev/generated/statsmodels.regression.linear_model.RegressionResults.html http://www-stat.wharton.upenn.edu/~buja/PAPERS/Buja_et_al_A_Conspiracy-rev1.pdf http://nrs.harvard.edu/urn-3:HUL.InstRepos:13572089
sameAs	Heteroskedasticity-consistent standard errors Heteroskedasticity-consistent standard errors Heteroskedasticity-consistent standard errors
dbp:wikiPageUsesTemplate	dbt:Cite_book dbt:Cite_journal dbt:Div_col dbt:Div_col_end dbt:Mono dbt:Reflist dbt:Short_description
has abstract	The topic of heteroskedasticity-consistent (HC) standard errors arises in statistics and econometrics in the context of linear regression and time series analysis. These are also known as heteroskedasticity-robust standard errors (or simply robust standard errors), Eicker–Huber–White standard errors (also Huber–White standard errors or White standard errors), to recognize the contributions of Friedhelm Eicker, Peter J. Huber, and Halbert White. In regression and time-series modelling, basic forms of models make use of the assumption that the errors or disturbances ui have the same variance across all observation points. When this is not the case, the errors are said to be heteroskedastic, or to have heteroskedasticity, and this behaviour will be reflected in the residuals estimated from a fitted model. Heteroskedasticity-consistent standard errors are used to allow the fitting of a model that does contain heteroskedastic residuals. The first such approach was proposed by Huber (1967), and further improved procedures have been produced since for cross-sectional data, time-series data and GARCH estimation. Heteroskedasticity-consistent standard errors that differ from classical standard errors may indicate model misspecification. Substituting heteroskedasticity-consistent standard errors does not resolve this misspecification, which may lead to bias in the coefficients. In most situations, the problem should be found and fixed. Other types of standard error adjustments, such as clustered standard errors, may be considered as extensions to HC standard errors. (en) Стандартные ошибки в форме Уайта или состоятельные при гетероскедастичности стандартные ошибки (HC s.e. — Heteroskedasticity consistent standard errors) — применяемая в эконометрике оценка ковариационной матрицы (в частности и стандартных ошибок) МНК-оценок параметров линейной модели регрессии, которая состоятельна при гетероскедастичности случайных ошибок модели, альтернативная стандартной (классической) оценке, которая в данном случае является несостоятельной. (ru)
prov:wasDerivedFrom	wikipedia-en:Heteroskedasticity-consistent_standard_errors?oldid=1112691390&ns=0
page length (characters) of wiki page	15927 (xsd:nonNegativeInteger)
foaf:isPrimaryTopicOf	wikipedia-en:Heteroskedasticity-consistent_standard_errors
is Link from a Wikipage to another Wikipage of	Sandwich standard error Arellano–Bond estimator Eicker-Huber-White standard error Eicker-Huber-White standard errors Heteroscedasticity-consistent standard errors HCSE HC0 Newey–West estimator Heteroscedasticity-Consistent Standard Errors Outline of statistics White test Robust standard error Huber-White standard error Huber-White standard errors Huber–White standard error Huber–White standard errors Eicker-White standard error Eicker-White standard errors Eicker–Huber-White standard error Eicker–Huber-White standard errors Eicker–White standard error Eicker–White standard errors White standard errors
is Wikipage redirect of	Sandwich standard error Eicker-Huber-White standard error Eicker-Huber-White standard errors Heteroscedasticity-consistent standard errors HCSE HC0 Heteroscedasticity-Consistent Standard Errors

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