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 …

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 …

conditions (with or without a unit root), and error characteristics (homoskedasticity or heteroskedasticity of different forms …

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 …

specification of a model. Using the best available tests, one can reduce the probability of estimating econometric models that are … misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …, Johansen's (1991) trace and the Boswijk (1989) Wald tests are examined. The Johansen trace test adjusted by the finite sample …