tests to accommodate hidden dependence and non-stationarities involving heteroskedasticity, thereby uncoupling these tests … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series …

Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in … parameter vector. I apply these tools to monetary policy shocks, identified using heteroskedasticity in high frequency data. I …

allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic …) under homoskedasticity, and has much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …

estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study … examines the performance of the statistic for different heteroskedasticity-robust variance estimators and different skedastic … empirical power, how one corrects for heteroskedasticity matters. We also compare its performance with that of the Wald …

In the presence of conditional heteroskedasticity, inference about the coefficients in a linear regression model these … days is typically based on the ordinary least squares estimator in conjunction with using heteroskedasticity consistent … standard errors. Similarly, even when the true form of heteroskedasticity is unknown, heteroskedasticity consistent standard …

allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a … heteroskedasticity-robust variance estimator. The CI is shown to have correct asymptotic size and to be asymptotically similar (in a … with and without conditional heteroskedasticity …

The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation …