Hi,

I am looking at data for returns of companies after their initial public offering. The return-data is skewed to the right and my White's test for heteroskedasticity suggests that it is highly heteroskedastic and skewed (See picture below).

I have tried using robust standard errors in my regression (regress x y, robust) which alters my results. However, I do not know what the robust standard errors take into account.

Do you know if they account for the skewness of the distribution? If no, is there any way to take this into account when making statistical inference?

I hope you can help!

Best,
Rolf

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