## Robust Inference Via Heteroskedasticity in Linear Models

_IMF Working Papers, May 22, 2026_

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## Bibliographic details
- Authors: Omer Faruk Akbal, Max-Sebastian Dovi
- Published: May 22, 2026
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9798229047227.001

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### Summary
- 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:
  - Nests standard heteroskedasticity-based approaches.
  - Allows for new non-nested restrictions.
  - Does not require ex-ante regime labelling.
- Primary contribution: proposal of an easily implementable weak-identification-robust test with derived sufficient conditions for validity.

### Methodology and Test
- Approach: heteroskedasticity-based inference in linear models that accommodates endogeneity and limited data settings.
- Novelty:
  - Incorporates non-nested restrictions alongside standard methods.
  - Eliminates the need for prior regime labelling.
- Output: a weak-identification-robust test designed to be easily implementable.
- Theoretical results: sufficient conditions for the validity of the proposed test are derived.

### Simulation Results
- 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.

### Empirical Applications
- Demonstrated versatility and scalability through applications to:
  - Fuel-price passthrough in Sierra Leone.
  - Effect of remittances on consumption in the Philippines.
  - Exchange-rate passthroughs in many countries.

### Subjects and Keywords
- 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

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_Source: https://www.imf.org/en/publications/wp/issues/2026/05/22/robust-inference-via-heteroskedasticity-in-linear-models-576273_