The heteroskedasticity-robust estimator of $\sum _ { \sqrt { n } ( \hat { \beta } - \beta ) }$ is obtained
A) $\text { from } \left( \boldsymbol { X } ^ { \prime } \boldsymbol { X } \right) ^ { - 1 } \boldsymbol { X } ^ { \prime } \boldsymbol { U }$
B) by replacing the population moments in its definition by the identity matrix.
C) from feasible GLS estimation.
D) by replacing the population moments in its definition by sample moments.

Question

Quizplus · Accepted Answer

The heteroskedasticity-robust estimator is obtained by replacing the population moments with sample moments to account for heteroskedasticity in the data.

The Heteroskedasticity-Robust Estimator Of ∑n(β^−β)\sum _ { \sqrt { n } ( \hat { \beta } - \beta ) }∑n​(β^​−β)​

The Heteroskedasticity-Robust Estimator Of $\sum _ { \sqrt { n } ( \hat { \beta } - \beta ) }$