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 …

inference methods that allow for many covariates and heteroskedasticity. Our results are obtained using high … versions of Eicker-White heteroskedasticity consistent standard error estimators for linear models are inconsistent under this … asymptotics. We then propose a new heteroskedasticity consistent standard error formula that is fully automatic and robust to both …

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model … with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests … transformations of the instruments; e.g., changing the order in which the instruments appear. While tests using the MM1 weight can be …

functions. In the presence of heteroskedasticity of unknown form, our method accounts for varying dispersion in the regression …

: identification strategies based on heteroskedasticity and strategkes based on non-Gaussianity more generally. I outline the seminal …

open research questions and interesting new research directions in the literature on the econometrics of DSGE models. These …