Heteroskedasticity-consistent standard errors use an estimated regression covariance that remains consistent when error variances vary across observations. For ordinary least squares, the basic sandwich estimate is . The resulting standard errors are square roots of its diagonal entries. This is a regression application of a sandwich covariance matrix.
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Heteroskedasticity-consistent standard errors (HCSE) are a type of standard error estimate used in regression analysis when the assumption of homoskedasticity (constant variance of the error terms) is violated. In other words, heteroskedasticity refers to a situation where the variability of the errors varies across levels of an independent variable, which can lead to unreliable standard errors if not addressed.