heteroskedasticity of unknown form. This is not the case, however, with other well-known IV estimators, such as LIML, Fuller's modified … LIML, 2SLS, and B2SLS, which are shown to be inconsistent in general under heteroskedasticity. We also introduce new … heteroskedasticity of unknown form, is important from the perspective of empirical application, given that testing general linear and …

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. …

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 Kn/rn → 0. We also show that the rate of convergence and the form of the …

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It … tests by allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. This paper finds …