Almost unbiased variance estimation in linear regressions with many covariates

Author:

Anatolyev Stanislav

Funder

Czech Science Foundation

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference6 articles.

1. Bias reduction in standard errors for linear regression with multi-stage samples;Bell;Surv. Methodol.,2002

2. Inference in linear regression models with many covariates and heteroskedasticity;Cattaneo;J. Amer. Statist. Assoc.,2018

3. Estimating heteroskedastic variances in linear models;Horn;J. Amer. Statist. Assoc.,1975

4. Robust standard errors in small samples: Some practical advice;Imbens;Rev. Econ. Stat.,2016

5. Thirty years of heteroskedasticity-robust inference;MacKinnon,2012

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Testing many restrictions under heteroskedasticity;Journal of Econometrics;2023-09

2. Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates;Journal of the American Statistical Association;2020-11-19

3. MANY INSTRUMENTS AND/OR REGRESSORS: A FRIENDLY GUIDE;Journal of Economic Surveys;2018-11-13

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