A Moment-Based Representation for Heteroskedasticity Robust Standard Errors

Benjamin J. Gillen

Journal of Econometric Methods2025https://doi.org/10.1515/jem-2024-0023article
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0.50

Abstract

Heteroskedasticity robust standard errors are often presented as a formula that is not directly related to classical standard errors derived under homoskedasticity. This short paper introduces a moment-based result relating these two estimators through the correlation between squared residuals and squared regressors. Though the result does not rely on normality, it admits a simple approximation when all variables are normally distributed. This representation can be useful both for pedagogical purposes in undergraduate courses that do not use matrix algebra and in highlighting the relative magnitude of robust to non-robust standard errors.

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https://doi.org/https://doi.org/10.1515/jem-2024-0023

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@article{benjamin2025,
  title        = {{A Moment-Based Representation for Heteroskedasticity Robust Standard Errors}},
  author       = {Benjamin J. Gillen},
  journal      = {Journal of Econometric Methods},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1515/jem-2024-0023},
}

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