A Tutorial on White’s Heteroskedasticity Consistent Estimator Using Python and Statsmodels

How to use the White’s heteroskedasticity consistent estimator using Python and statsmodels

In this article, we shall learn how to employ the HC estimator to perform statistical inference that is robust to heteroskedasticity.

This article is PART 2 of the following two part series:

PART 1: Introducing White’s Heteroskedasticity Consistent Estimator
PART 2: A tutorial on White’s Heteroskedasticity Consistent Estimator using Python and Statsmodels

In PART 1, we drilled into the theory of the …

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