This paper proposes new jackknife IV estimators that are robust to the effectsof many weak instruments and error heteroskedasticity in a cluster sample settingwith cluster-specific effects and possibly many included exogenous regressors. Theestimators that we propose are designed to properly...

This paper puts forward a new instrumental variables (IV) approach for linear panel datamodels with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...

We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first-stage coefficients is known. In the case with a single instrument, there is a unique nonrandomized unbiased estimator based on...

We study how estimators used to impute consumption in survey data are inconsistent due to measurement error in consumption. Previous research suggests instrumenting consumption to overcome this problem. We show that, if additional regressors are present in the estimation, then instrumenting...

We study how estimators used to impute consumption in survey data are inconsistent due to measurement error in consumption. Previous research suggests instrumenting consumption to overcome this problem. We show that, if additional regressors are present, then instrumenting consumption may still...

The moment conditions or estimating equations for instrumental variables quantile regression involves the discontinuous indicator function. We instead use smoothed estimating equations, with bandwidth h. This is known to allow higher-order expansions that justify bootstrap refinements for...

In the standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, adding a constant to the dependent variable affects the estimates for models without full period dummies. Omitting the constant term from...

We study how estimators that are used to impute consumption in survey data are inconsistent due to measurement error in consumption. Previous research suggests instrumenting consumption to overcome this problem. We show that, if additional regressors are present, then instrumenting consumption...

Inference about television program substitutability from the consumer perspective is complicated by unobserved shocks to viewership and endogenous programming choices by television networks. High-frequency changes in program scheduling are commonplace in Argentina. This paper uses this variation...