3 problems

Let $T_{Het}$ be the heteroskedasticity-robust test statistic, let $\mathsf{B}$ be the subspace appearing in the preceding conditions, let $e_i(n)$ denote the relevant standard-bas…

Let $\hat{\sigma}_\mathtt{us}^2$-HC$k$ and $\hat{\sigma}_\mathtt{rbc}^2$-HC$k$, for $k=1,2,3$, denote the heteroskedasticity-consistent variance estimators obtained from the corres…

Consider a linear regression model with many covariates and heteroskedasticity. Let $\tilde{u}_{i,n}^{2}$ denote the bias-corrected squared residuals introduced in Remark 1, and le…