Heteroskedasticity robust standard errors: Some practical considerations
6 October 2022
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Introduction
Some discussions have arisen lately with regard to which standard errors should be used by practitioners in the presence of heteroskedasticity in linear models. The discussion intrigued me, so I took a second look at the existing literature. I provide an overview of theoretical and simulation research that helps us answer this question. I also present simulation results that mimic or expand some of the existing simulation studies. I’ll share the Stata code I used for the simulations in hopes that it might be useful to those that want to explore how the various standard-error estimators perform in situations that are relevant to your research. Read more…