and phrases: volatility, nonstationary nonlinear heteroskedasticity, regression with heteroskedastic errors, spurious … parameters. In the presence of NNH in the errors, we are naturally led to consider the White correc- tion for heteroskedastic … errors. Therefore, we define the heteroskedasticity-corrected (HC) Wald statistic to be given by G(ˆβ) = parenleftBig Rˆβ −r …