📖 Weighted Least Squares (WLS) and Sandwich Estimation

Reading

Read the following chapter. It should be accessible via the link after logging in with your x500 and password.

• Read Kaufman, R. L. (2013). Heteroskedasticity-consistent (robust) standard errors. In Heteroskedasticity in regression: Detection and correction (pp. 43–50). Sage. https://dx-doi-org.ezp1.lib.umn.edu/10.4135/9781452270128.n4

Additional Resources

• Shin, H.-C. (1998). Weighted least squares estimation with sampling weights. Journal of Econometrics, 8(2), 251–271.
• Solon, G., Haider, S. J., & Woolridge, J. (2013). What are we weighting for? (Working Paper No. 18859; NBER Working Paper Series). National Bureau of Economic Research.