Huber-White standard errors
- Huber-White standard errors
In econometrics, Huber-White standard errors are standard errors that are adjusted for correlations of error terms across observations, especially in panel and survey data as well as data with cluster structure. This type of adjusted errors is also called sandwich, robust or empirical standard errors.
Once obtained, these estimated errors should be used instead of traditional standard error estimates for inferences and hypothesis testing of the econometric model.
References
Citation
last = Hayes
first = Andrew F.
last2 = Cai
first2 = Li
title = Using heteroscedasticity-consistent standard error estimators in OLS regression: An introduction and software implementation
journal = Behavior Research Methods
volume = 37
number =
pages = 709--722
url = http://www.comm.ohio-state.edu/ahayes/SPSS%20programs/HCSEp.htm
year = 2007
* [http://homepages.nyu.edu/%7Eahn1/Stata.html Nawar, Abdel-Hameed (2005) "Seemingly Unrelated Regressions (SUR): An Introduction by Examples," A Statistics Lecture Note, New York University, July, mimeo]
*cite book | author=Greene, William. | title="Econometric Analysis" | publisher=Prentice Hall | year=1998
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