Almost unbiased variance estimation in linear regressions with many covariates

DOI10.1016/J.ECONLET.2018.05.003zbMath1401.62105OpenAlexW2799395339WikidataQ129833808 ScholiaQ129833808MaRDI QIDQ1787676

Stanislav Anatolyev

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.05.003

zbMATH Keywords

linear regressionordinary least squaresvariance estimationmany regressor asymptotics

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (2)

Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates ⋮ Testing many restrictions under heteroskedasticity

Cites Work

• A lower bound for the smallest singular value of a matrix
• Estimating Heteroscedastic Variances in Linear Models
• Inference in Linear Regression Models with Many Covariates and Heteroscedasticity

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