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Robust Inference Via Heteroskedasticity in Linear Models / Omer Faruk Akbal, Max-Sebastian Dovi.
- Format:
- Book
- Government document
- Author/Creator:
- Akbal, Omer Faruk.
- Series:
- IMF Working Papers; Working Paper ; No. 2026/100
- IMF Working Papers
- Language:
- English
- Physical Description:
- 1 online resource (38 pages)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2026.
- Summary:
- We study inference via heteroskedasticity in linear models commonly used for macroeconomic policy analysis, where covariate endogeneity must often be addressed with limited time and data. Our framework nests standard heteroskedasticity-based approaches, allows for new non-nested restrictions, and does not require ex-ante regime labelling. We propose an easily implementable weak-identification-robust test and derive sufficient conditions for its validity. Simulation results show good size and power properties in a wide range of settings. Empirical applications to the fuel-price passthrough in Sierra Leone, the effect of remittances on consumption in the Philippines, and exchange-rate passthroughs in many countries illustrate the versatility and scalability of our approach.
- Notes:
- Description based on print version record.
- ISBN:
- 9798229047203
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