This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for …. Compared with the recent test in Gupta (2018), I use a different way of accounting for heteroskedasticity. I demonstrate using …

In the presence of conditional heteroskedasticity, inference about the coefficients in a linear regression model these … days is typically based on the ordinary least squares estimator in conjunction with using heteroskedasticity consistent … standard errors. Similarly, even when the true form of heteroskedasticity is unknown, heteroskedasticity consistent standard …

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the … heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo …

Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in … parameter vector. I apply these tools to monetary policy shocks, identified using heteroskedasticity in high frequency data. I …

tests to accommodate hidden dependence and non-stationarities involving heteroskedasticity, thereby uncoupling these tests … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series …