Transcription of Robust and Clustered Standard Errors - Harvard University
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Robust and Clustered Standard Errors - Harvard University
Robust and Clustered Standard ErrorsMolly RobertsMarch 6, 2013 Molly RobertsRobust and Clustered Standard ErrorsMarch 6, 20131 / 35An Introduction to Robust and Clustered Standard ErrorsOutline1An Introduction to Robust and Clustered Standard ErrorsLinear Regression with Non-constant VarianceGLM s and Non-constant VarianceCluster- Robust Standard Errors2 Replicating in RMolly RobertsRobust and Clustered Standard ErrorsMarch 6, 20132 / 35An Introduction to Robust and Clustered Standard ErrorsOutline1An Introduction to Robust and Clustered Standard ErrorsLinear Regression with Non-constant VarianceGLM s and Non-constant VarianceCluster- Robust Standard Errors2 Replicating in RMolly RobertsRobust and Clustered Standard ErrorsMarch 6, 20133 / 35An Introduction to Robust and Clustered Standard ErrorsLinear Regression with Non-constant VarianceReview: Errors and ResidualsErrors are the vertical distances between observations and theunknown Conditional Expectation Function.
An Introduction to Robust and Clustered Standard Errors Linear Regression with Non-constant Variance Review: Errors and Residuals Errorsare the vertical distances between observations and the unknownConditional Expectation Function. Therefore, they are unknown.
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