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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
This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The...
Persistent link: https://www.econbiz.de/10008668817
Persistent link: https://www.econbiz.de/10003540208
Persistent link: https://www.econbiz.de/10010254992
Persistent link: https://www.econbiz.de/10009520974
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 gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The...
Persistent link: https://www.econbiz.de/10009130702
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
This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microecono- metric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important....
Persistent link: https://www.econbiz.de/10011756822
[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