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 …

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

The literature on heteroskedasticity and autocorrelation robust (HAR) inference is extensive but its usefulness relies …

robust to both conditional and unconditional heteroskedasticity of a quite general and unknown form in the shocks. We show … pivotal asymptotic null distributions in the presence of heteroskedasticity, but that the corresponding tests based on the … wild bootstrap principle do. An heteroskedasticity-robust Wald test, based around a sandwich estimator of the variance, is …

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the …

parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in the … distributions. As an empirical example, monetary models are compared using heteroskedasticity as an additional device for …

periodic heteroskedasticity are proposed …