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 …

and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the …