STAT 541: Sandwich Estimator

Statistics 541: Sandwich Estimator


Car data example

Example: Car data.

Sandwich Estimator

The problem


First solution: weighted least squares


Second solution: Sandwich estimator.

(White 1980, Long and Ervin 2000)

example revisited

(Foster Stine 2001)

Third solution: Use both!

Foster, D. P. and Stine, R. A. (2001) "Variable selection in data mining: Building a predictive model for bankruptcy." preprint.

Long, J. S. and Ervin, L. H. (2000), "Using heteroscedastic consistent standard errors in the linear regression model," American statistician, 54, 795 - 806.

White (1980) "A heteroscedastic-consistent covariance matrix estimator and a direct test of heteroskedasticity," Econometrica, 48, 817 - 838.

Last modified: Tue Feb 20 08:44:47 2001