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 …

Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in …, identified using heteroskedasticity in high frequency data. I detect weak identification in daily data, causing standard …

Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM … and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to … conditional heteroskedasticity is pronounced and that WLS and ALS can dramatically shorten confidence intervals compared to OLS …

This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a …

-robust or sandwich standard errors that permit quite general heteroskedasticity and within-cluster error correlation, but …