Unlocking the Regression Space

Fuente: arXiv
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Main Authors: Giraitis, Liudas, Kapetanios, George, Li, Yufei, Ventouri, Alexia
Format: Preprint
Published: 2025
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author Giraitis, Liudas
Kapetanios, George
Li, Yufei
Ventouri, Alexia
author_facet Giraitis, Liudas
Kapetanios, George
Li, Yufei
Ventouri, Alexia
contents This paper introduces and analyzes a framework that accommodates general heterogeneity in regression modeling. It demonstrates that regression models with fixed or time-varying parameters can be estimated using the OLS and time-varying OLS methods, respectively, across a broad class of regressors and noise processes not covered by existing theory. The proposed setting facilitates the development of asymptotic theory and the estimation of robust standard errors. The robust confidence interval estimators accommodate substantial heterogeneity in both regressors and noise. The resulting robust standard error estimates coincide with White's (1980) heteroskedasticity-consistent estimator but are applicable to a broader range of conditions, including models with missing data. They are computationally simple and perform well in Monte Carlo simulations. Their robustness, generality, and ease of implementation make them highly suitable for empirical applications. Finally, the paper provides a brief empirical illustration.
format Preprint
id arxiv_https___arxiv_org_abs_2511_07183
institution arXiv
publishDate 2025
record_format arxiv
spellingShingle Unlocking the Regression Space
Giraitis, Liudas
Kapetanios, George
Li, Yufei
Ventouri, Alexia
Econometrics
Statistics Theory
62M10, 62G05
This paper introduces and analyzes a framework that accommodates general heterogeneity in regression modeling. It demonstrates that regression models with fixed or time-varying parameters can be estimated using the OLS and time-varying OLS methods, respectively, across a broad class of regressors and noise processes not covered by existing theory. The proposed setting facilitates the development of asymptotic theory and the estimation of robust standard errors. The robust confidence interval estimators accommodate substantial heterogeneity in both regressors and noise. The resulting robust standard error estimates coincide with White's (1980) heteroskedasticity-consistent estimator but are applicable to a broader range of conditions, including models with missing data. They are computationally simple and perform well in Monte Carlo simulations. Their robustness, generality, and ease of implementation make them highly suitable for empirical applications. Finally, the paper provides a brief empirical illustration.
title Unlocking the Regression Space
topic Econometrics
Statistics Theory
62M10, 62G05
url https://arxiv.org/abs/2511.07183