covariates and heteroskedasticity. Our results are obtained using high-dimensional approximations, where the number of covariates … are allowed to grow as fast as the sample size. We find that all of the usual versions of Eicker-White heteroskedasticity … heteroskedasticity consistent standard error formula that is fully automatic and robust to both (conditional) heteroskedasticity of …

inference methods that allow for many covariates and heteroskedasticity. Our results are obtained using high … versions of Eicker-White heteroskedasticity consistent standard error estimators for linear models are inconsistent under this … asymptotics. We then propose a new heteroskedasticity consistent standard error formula that is fully automatic and robust to both …

those for the studentized version of the test for closely related \score" bootstrap-based tests, which permit testing …

functions. In the presence of heteroskedasticity of unknown form, our method accounts for varying dispersion in the regression …

: identification strategies based on heteroskedasticity and strategkes based on non-Gaussianity more generally. I outline the seminal …