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 …

-statistics. Monte Carlo simulations are provided to deal with heteroskedasticity and to make some comparisons between the generalized …