Robust variance estimation in linear regression |
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Authors: | John H Herbert Phillip S Kott |
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Institution: | 1. Energy Information Administration , 2National Agricultural Statistics Service, Washington D.C.;2. National Agricultural Statistics Service , Washington D.C. |
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Abstract: | The standard technique for estimating the variance of a linear regression coefficient is unbiased when the random errors of the observational units are independent and identically distributed. When the unit variances are not all equal, however, as is often the case in practice, this method can be biased. An unbiased variance estimator given uncorrelated, but not necessarily homoscedastic, unit errors is introduced here and compared to the conventional technique using real data. |
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