Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - In: Quantitative economics : QE ; journal of the … 3 (2012) 2, pp. 211-255
This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data …. Such settings are common in microecono- metric applications where many instruments are used to improve efficiency and … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic …