This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix …

This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and …

distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although … that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap … conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of …