The short answer is that all the most common heteroscedasticity consistent estimators are asymptotically equivalent, and with a sample size of 40,000, you can use any one of them. For exemple, use White's.

Addition: I don't know which software you are using, but in R you can use the sandwich package and in STATA you can just add ",robust" after your regression, I.e reg y x, robust.

The short answer is that all the most common heteroscedasticity-consistent estimators are asymptotically equivalent, and with a sample size of 40,000, you can use any one of them. For example, use White's.

Addition: I don't know which software you are using, but in R you can use the sandwich package, and in STATA you can just add ,robust after your regression, i.e. reg y x, robust.

The short answer is that all the most common heteroscedasticity consistent estimators are asymptotically equivalent, and with a sample size of 40,000, you can use any one of them. For exemple, use White's.

The short answer is that all the most common heteroscedasticity consistent estimators are asymptotically equivalent, and with a sample size of 40,000, you can use any one of them. For exemple, use White's.

Addition: I don't know which software you are using, but in R you can use the sandwich package and in STATA you can just add ",robust" after your regression, I.e reg y x, robust.