This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models … software usually provides parameter estimators that are not robust against unknown forms of heteroskedasticity. Different … bootstrap methodologies are available which are able to generate heteroskedasticity robust parameter estimates. However, common …

single perceived shock that closely aligns with observed inflation surprises. The time-varying impulse responses indicate a … significant decline in the perceived persistence of this shock, suggesting that inflation expectations have become more "anchored …

financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive. …

instrumental variables (IV) model with an endogenous binary treatment and a binary instrument, we allow the heteroskedasticity of … the outcome. In this endogenous heteroskedasticity IV (EHIV) model with heterogeneous individual treatment effects, the … standard IV estimator can be inconsistent and lead to incorrect inference. After showing identification of the mean and …