We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for … testing the relevance and exogeneity condition for instruments separately using likelihood ratio tests, and facilitates the … identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks …

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 …

and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the …

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 …