Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011
heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit … both global heteroskedasticity and cross-unit dependence, we start by adapting the nonlinear instruments method proposed … of the test statistic as long as the t-type statistics are computed with White heteroskedasticity-consistent standard …