Huber-White standard errors
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In econometrics, Huber-White standard errors are standard errors that are adjusted for correlations of error terms across observations, especially in panel and survey data as well as data with cluster structure. This type of adjusted errors is also called sandwich, robust or empirical standard errors.
Once obtained, these estimated errors should be used instead of traditional standard error estimates for inferences and hypothesis testing of the econometric model.
[edit] References
Hayes, Andrew F. & Cai, Li (2007), “Using heteroscedasticity-consistent standard error estimators in OLS regression: An introduction and software implementation”, Behavior Research Methods 37: 709--722, <http://www.comm.ohio-state.edu/ahayes/SPSS%20programs/HCSEp.htm>
- Nawar, Abdel-Hameed (2005) "Seemingly Unrelated Regressions (SUR): An Introduction by Examples," A Statistics Lecture Note, New York University, July, mimeo
- Greene, William. (1998). "Econometric Analysis". Prentice Hall.
