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Jackknife instrumental variable estimation with heteroskedasticity

Bekker, Paul A.; Crudu, Federico - In: Journal of Econometrics 185 (2015) 2, pp. 332-342

We present a new jackknife estimator for instrumental variable inference with unknown heteroskedasticity. It weighs observations such that many-instruments consistency is guaranteed while the signal component in the data is maintained. We show that this results in a smaller signal component in...

Persistent link: https://www.econbiz.de/10011190708

Symmetry-based inference in an instrumental variable setting

Bekker, Paul A.; Lawford, Steve - In: Journal of Econometrics 142 (2008) 1, pp. 28-49

Persistent link: https://www.econbiz.de/10005285853

Exact inference for the linear model with groupwise heteroscedastic spherical disturbances

Bekker, Paul A. - In: Journal of Econometrics 111 (2002) 2, pp. 285-302

Persistent link: https://www.econbiz.de/10005228678

Identification of linear stochastic models with covariance restrictions

Bekker, Paul A.; Pollock, D. S. G. - In: Journal of Econometrics 31 (1986) 2, pp. 179-208

Persistent link: https://www.econbiz.de/10005228803

Identification in restricted factor models and the evaluation of rank conditions

Bekker, Paul A. - In: Journal of Econometrics 41 (1989) 1, pp. 5-16

Persistent link: https://www.econbiz.de/10005192266

Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data

Hoogerheide, Lennart; Kleibergen, Frank; Dijk, Herman K. van - In: Journal of Econometrics 138 (2007) 1, pp. 63-103

Persistent link: https://www.econbiz.de/10005285950

Priors, posteriors and bayes factors for a Bayesian analysis of cointegration

Kleibergen, Frank; Paap, Richard - In: Journal of Econometrics 111 (2002) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10005238968

Bayesian and classical approaches to instrumental variable regression

Kleibergen, Frank; Zivot, Eric - In: Journal of Econometrics 114 (2003) 1, pp. 29-72

Persistent link: https://www.econbiz.de/10005204018

Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox

Kleibergen, Frank - In: Journal of Econometrics 123 (2004) 2, pp. 227-258

Persistent link: https://www.econbiz.de/10005204020

Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics

Kleibergen, Frank - In: Journal of Econometrics 139 (2007) 1, pp. 181-216

Persistent link: https://www.econbiz.de/10005192316

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