This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the overidentifying test statistic. Correct asymptotic critical values are derived for this statistic when the number of instruments grows...

This paper analyzes the conditions under which consistent estimation can be achieved in instrumental variables (IV) regression when the available instruments are weak and the number of instruments, K_n, goes to infinity with the sample size. We show that consistent estimation depends importantly...

In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation...