{
  "title": "Robust Inference Via Heteroskedasticity in Linear Models",
  "publication": "IMF Working Papers, May 22, 2026",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2026/05/22/robust-inference-via-heteroskedasticity-in-linear-models-576273",
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  "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.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Study focus: inference via heteroskedasticity in linear models commonly used for macroeconomic policy analysis where covariate endogeneity must often be addressed with limited time and data.\n- Framework features:\n  - Nests standard heteroskedasticity-based approaches.\n  - Allows for new non-nested restrictions.\n  - Does not require ex-ante regime labelling.\n- Primary contribution: proposal of an easily implementable weak-identification-robust test with derived sufficient conditions for validity."
    },
    {
      "heading": "Methodology and Test",
      "content": "- Approach: heteroskedasticity-based inference in linear models that accommodates endogeneity and limited data settings.\n- Novelty:\n  - Incorporates non-nested restrictions alongside standard methods.\n  - Eliminates the need for prior regime labelling.\n- Output: a weak-identification-robust test designed to be easily implementable.\n- Theoretical results: sufficient conditions for the validity of the proposed test are derived."
    },
    {
      "heading": "Simulation Results",
      "content": "- Findings: simulation results show good size and power properties in a wide range of settings.\n- Implication: the proposed test performs well under diverse simulated scenarios relevant to macroeconomic applications."
    },
    {
      "heading": "Empirical Applications",
      "content": "- Demonstrated versatility and scalability through applications to:\n  - Fuel-price passthrough in Sierra Leone.\n  - Effect of remittances on consumption in the Philippines.\n  - Exchange-rate passthroughs in many countries."
    },
    {
      "heading": "Subjects and Keywords",
      "content": "- Subject: Balance of payments, Consumption, Exchange rates, Foreign exchange, Fuel prices, Inflation, National accounts, Prices, Remittances\n- Keywords: Anderson-Rubin, Consumption, Exchange rates, Fuel prices, Global, Heteroskedasticity, IMF working papers, Inflation, regime labelling, Remittances, simulation result, two-step inference, views of the IMF, weak identification\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2026/05/22/robust-inference-via-heteroskedasticity-in-linear-models-576273"
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    "Authors: Omer Faruk Akbal, Max-Sebastian Dovi",
    "Published: May 22, 2026",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9798229047227.001",
    "Study focus: inference via heteroskedasticity in linear models commonly used for macroeconomic policy analysis where covariate endogeneity must often be addressed with limited time and data.",
    "Framework features:",
    "Primary contribution: proposal of an easily implementable weak-identification-robust test with derived sufficient conditions for validity.",
    "Approach: heteroskedasticity-based inference in linear models that accommodates endogeneity and limited data settings.",
    "Novelty:",
    "Output: a weak-identification-robust test designed to be easily implementable.",
    "Theoretical results: sufficient conditions for the validity of the proposed test are derived.",
    "Findings: simulation results show good size and power properties in a wide range of settings.",
    "Implication: the proposed test performs well under diverse simulated scenarios relevant to macroeconomic applications.",
    "Demonstrated versatility and scalability through applications to:",
    "Subject: Balance of payments, Consumption, Exchange rates, Foreign exchange, Fuel prices, Inflation, National accounts, Prices, Remittances",
    "Keywords: Anderson-Rubin, Consumption, Exchange rates, Fuel prices, Global, Heteroskedasticity, IMF working papers, Inflation, regime labelling, Remittances, simulation result, two-step inference, views of the IMF, weak identification",
    "**Working Paper**"
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