Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59468
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dc.contributor.authorChao, John C.en_US
dc.contributor.authorHausman, Jerry A.en_US
dc.contributor.authorNewey, Whitney K.en_US
dc.contributor.authorSwanson, Norman R.en_US
dc.contributor.authorWoutersen, Tiemenen_US
dc.date.accessioned2011-06-14en_US
dc.date.accessioned2012-06-25T11:57:19Z-
dc.date.available2012-06-25T11:57:19Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/59468-
dc.description.abstractThis 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 (1999). Correct asymptotic critical values are derived for this test when the number of instruments grows large, at a rate up to the sample size. It is also shown that the test is valid when the number instruments is fixed and there is homoskedasticity. This test improves on recently proposed tests by allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. The asymptotics is based on the heteroskedasticity robust many instrument asymptotics of Chao et. al. (2010).en_US
dc.language.isoengen_US
dc.publisher|aDep. of Economics, Rutgers, the State Univ. of New Jersey |cNew Brunswick, NJen_US
dc.relation.ispartofseries|aWorking Papers, Department of Economics, Rutgers, the State University of New Jersey |x2011,18en_US
dc.subject.jelC13en_US
dc.subject.jelC31en_US
dc.subject.ddc330en_US
dc.subject.keywordheteroskedasticityen_US
dc.subject.keywordinstrumental variablesen_US
dc.subject.keywordjackknife estimationen_US
dc.subject.keywordmany instrumentsen_US
dc.subject.keywordweak instrumentsen_US
dc.subject.stwHeteroskedastizitäten_US
dc.subject.stwInstrumentalvariablen-Schätzmethodeen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.titleTesting overidentifying restrictions with many instruments and heteroskedasticityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn662053761en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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