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 shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...

In a recent paper, Hausman et al. (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments asymptotics. Moreover, this...

In a recent paper, Hausman, Newey, Woutersen, Chao, and Swanson (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments...

This chapter shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...

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....