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Robust OLS

Robust OLS applies ordinary least squares to estimate coefficients and then replaces the classical standard errors with heteroscedasticity-consistent (HC) standard errors — commonly called White standard errors. This leaves the point estimates unchanged while yielding valid t-statistics and confidence intervals even when the error variance is not constant across observations.

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Ordinary Least Squares with Heteroscedasticity-Consistent Standard Errors

Taxonomisk metodpost · regression-model / econometrics

White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838. · DOI 10.2307/1912934
Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. · ISBN 978-1337558860

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