A Monte Carlo study of 608 real regressions finds that HC1 and HC2 with default degrees of freedom over-reject, and customized degrees-of-freedom methods, including a new partial-leverage approach, perform best.
We then compute the corresponding t-statistic for the null hypothesisβk = 0: tb,η k = ˆβb kq ˆV b,η k (25)
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From Replications to Revelations: Heteroskedasticity-Robust Inference
A Monte Carlo study of 608 real regressions finds that HC1 and HC2 with default degrees of freedom over-reject, and customized degrees-of-freedom methods, including a new partial-leverage approach, perform best.