Heteroskedasticity

Question 1

Asymptotic distribution of the OLS estimator under heteroskedasticity

Answer 1

To estimate this asymptotic variance we can euse the sample counterpart (White standard erros)

Question 2

White formula for the asymptotic variance

Answer 2

This is just the sample counterpart of the “true” asymptotic variance

Question 3

Clustered SE

Answer 3

• Assumption: erros are indenpendent across groups
• There’s dependence within the group
• Consistency requires a big number of clusters

Note: arellano defined the distribution with the number of clusters

Question 4

WLS SE

Answer 4