Chao, John C. (contributor); Swanson, Norman R. (contributor) - 2004 - [Elektronische Ressource]
obtained when estimating structural parameters using JIVE, even when errors exhibit heteroskedasticity of unkown form. This is … together with the fact that the tests are robust to unconditional heteroskedasticity, is important from the perspective of … given that heteroskedasticity is prevalent, particularly in microeconomic datasets. …