allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic …) under homoskedasticity, and has much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It … allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. The asymptotics is based on … the heteroskedasticity robust many instrument asymptotics of Chao et. al. (2010). …

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework … inconsistent in the presence of heteroskedasticity, unless [...] → 0. We also show that the rate of convergence and the form of the …

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework … heteroskedasticity, unless Kn/rn → 0. We also show that the rate of convergence and the form of the asymptotic covariance matrix of the …

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It … allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. The asymptotics is based on … the heteroskedasticity robust many instrument asymptotics of Chao et. al. (2010) …

allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered …

obtained when estimating structural parameters using JIVE, even when errors exhibit heteroskedasticity of unkown form. This is … together with the fact that the tests are robust to unconditional heteroskedasticity, is important from the perspective of … given that heteroskedasticity is prevalent, particularly in microeconomic datasets …

gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The …, all of which are inconsistent in the presence of heteroskedasticity, unless Kn/rn → 0. We also show that the rate of …

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework … are inconsistent in the presence of heteroskedasticity, unless \frac{K_n}{r_n}\to 0. We also show that the rate of … instruments as measured by the relative orders of magnitude of r_n and K_n. -- heteroskedasticity ; instrumental variables …

allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. -- Instrumental …