Bite Size Data Science: Heteroscedastic Robust Errors

Author:Murphy  |  View: 20327  |  Time: 2025-03-22 21:32:13

The "bite size" format of articles is meant to deliver concise, focused insights on a single, small-scope topic. After reading this article, you will understand (1) why homoscedastic errors are required for valid standard errors in Linear Regression and (2) how to calculate heteroscedastic robust errors and why they remove the need for the homoscedastic assumption.

Here are the contents of the article:

  1. Quick overview of homo/heteroskedastic errors
  2. Explanation of why the homoscedasticity assumption is needed in linear regression – going through the derivation in a friendly way

    Tags: Data Analysis Data Science Linear Regression Math Statistics

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