This paper develops Wald-type tests for general (possibly nonlinear) restrictions in the context of a weakly … heteroskedasticity of unknown form. This is not the case, however, with other well-known IV estimators, such as LIML, Fuller's modified … LIML, 2SLS, and B2SLS, which are shown to be inconsistent in general under heteroskedasticity. We also introduce new …

tests reject the null hypothesis of linearity too frequently if the the data are heteroskedastic. Two approaches to … relation to this particular problem. These are the heteroskedasticity-robust-auxiliary-regression approach and the wild … demonstrate the dangers of using non-robust tests …