Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - In: Econometric Theory 28 (2012) 01, pp. 42-86
This paper derives the limiting distributions of alternative jackknife instrumental variables (JIV) estimators and gives formulas for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence...