Showing 1 - 10 of 60
Persistent link: https://www.econbiz.de/10001327454
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/10010282842
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/10010282856
Persistent link: https://www.econbiz.de/10003772265
Persistent link: https://www.econbiz.de/10003375924
Persistent link: https://www.econbiz.de/10003375927
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/10003594120
Persistent link: https://www.econbiz.de/10003612521
Persistent link: https://www.econbiz.de/10003563522