- Thread starter Akavall
- Start date

So , no matter the

Hope it doesn't ruin your x-y relationship!

So , no matter the

Hope it doesn't ruin your x-y relationship!

If I put my variables in first differences, there is no more relationship, but then again first differencing often lead to the loss of information.

Thanks again.

Btw, what's the formula for the white's standard errors? I googled around for it, but couldn't find it.

OLS variance estimator:

VOLS = s2 * (X'X)^-1

where

N

s2 = (1/(N - k)) Σ ei^2

i=1

Robust (unclustered) variance estimator:

N

Vrob = (X'X)^-1 * [ Σ (ei*xi)' * (ei*xi) ] * (X'X)^-1

i=1

http://www.stata.com/support/faqs/stat/cluster.html

I guess in my case

N

s2 = (1/(N - k)) Σ ei^2

i=1

is greater than

N

[ Σ (ei*xi)' * (ei*xi) ] * (X'X)^-1

i=1

> Econometric Computing with HC and HAC Covariance Matrix Estimators