Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates

DOI10.1080/01621459.2020.1831924OpenAlexW3092383651MaRDI QIDQ5885113

Koen Jochmans

Publication date: 27 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.06136

zbMATH Keywords

heteroscedasticityinferencemany regressorsstatistical leverage

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (3)

STATISTICAL INFERENCE WITH F-STATISTICS WHEN FITTING SIMPLE MODELS TO HIGH-DIMENSIONAL DATA ⋮ Testing many restrictions under heteroskedasticity ⋮ Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators

Cites Work

• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Convergence rates and asymptotic normality for series estimators
• Almost unbiased variance estimation in linear regressions with many covariates
• Robust regression: Asymptotics, conjectures and Monte Carlo
• An unbalanced jackknife
• On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
• Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators
• Estimation and Testing of the Union Wage Effect Using Panel Data
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Comparison of Estimators of Heteroscedastic Variances in Linear Models
• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• The Hat Matrix in Regression and ANOVA
• Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
• Leave‐Out Estimation of Variance Components
• Two-Step Estimation and Inference with Possibly Many Included Covariates
• Double/debiased machine learning for treatment and structural parameters
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Necessary and Sufficient Conditions for MINQU-Estimation of Heteroskedastic Variances in Linear Models

This page was built for publication: Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates