estimators with three heteroskedasticity-consistent instrument-based estimators in terms of various performance measures. Our … and coverage probability of confidence intervals-- poorer than the heteroskedasticity-consistent Fuller (HFUL) estimator …

unit root test (CIPS test). We considered situations involving two types of time-series heteroskedasticity (unconditional … robust versus the two types of heteroskedasticity in the unobserved common factor. However, we found under-size distortion in … the case of unconditional heteroskedasticity in the idiosyncratic error term, and conversely, over-size distortion in the …

The Breusch-Pagan Lagrange Multiplier test for heteroskedascity is supposedly able to detect heteroskedasticity which …

that (ii) introducing heteroskedasticity in the base regime leads to better spike identification and goodness-of-fit than …

autocorrelation in the presence of heteroskedasticity. We show through a Monte Carlo simulation that our wild-bootstrapped VR test has … better small sample properties and is robust to the structure of heteroskedasticity. …