Heteroskedasticity-consistent standard errors

Common card · No. 413501

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 ε i {\textstyle \varepsilon _{i}} 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 ε...

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