All simulators
Heteroskedasticity & Robust Standard Errors
Fan-shaped errors make classical intervals under-cover; robust (sandwich) intervals restore 95%.
Day 29: OLS Asymptotics & Robust (Sandwich) Varianceclassical 95% CI coverage74.5%
robust (HC1) 95% CI coverage92.6%
true sd of β̂₁
0.2212
mean classical SE
0.1316
mean robust SE
0.2066
Errors have sd √(0.25 + δx²): they fan out at extreme x, exactly where the slope is decided. 1,500 simulated samples compare the average reported SE with the true sampling sd of β̂₁, and the coverage of 95% intervals.