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. Such settings are common in microecono- metric applications where many instruments are used to improve efficiency and … efficiency in a range of cases. The standard errors are easy to compute, being like White’s (1982), with additional terms that …
Persistent link: https://www.econbiz.de/10011756822
The linear regression model is widely used in empirical work in Economics, Statistics, and many other disciplines. Researchers often include many covariates in their linear model specification in an attempt to control for confounders. We give inference methods that allow for many covariates and...
Persistent link: https://www.econbiz.de/10011586174
The linear regression model is widely used in empirical work in Economics. Researchers often include many covariates in their linear model specification in an attempt to control for confounders. We give inference methods that allow for many covariates and heteroskedasticity. Our results are...
Persistent link: https://www.econbiz.de/10011295589
This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...
Persistent link: https://www.econbiz.de/10008668814
Persistent link: https://www.econbiz.de/10010254992
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 Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger...
Persistent link: https://www.econbiz.de/10009130515
This paper derives the limiting distributions of alternative jackknife IV (J IV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...
Persistent link: https://www.econbiz.de/10009130708
Persistent link: https://www.econbiz.de/10009520974
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance …
Persistent link: https://www.econbiz.de/10012477198
[enter Abstract Body]This paper derives the limiting distributions of alternative jackknife IV (JIV ) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument...
Persistent link: https://www.econbiz.de/10013124382