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dc.contributor.authorChao, John C.en
dc.contributor.authorSwanson, Norman R.en
dc.contributor.authorHausman, Jerry A.en
dc.contributor.authorNewey, Whitney K.en
dc.contributor.authorWoutersen, Tiemenen
dc.date.accessioned2010-11-01-
dc.date.accessioned2011-09-27T15:21:35Z-
dc.date.available2011-09-27T15:21:35Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/49906-
dc.description.abstractThis 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) and the many weak instrument sequence of Chao and Swanson (2005). We show that JIV estimators are asymptotically normal and that standard errors are consistent provided that √Kn/rn → 0 as n → ∞, where Kn and rn denote, respectively, the number of instruments and the concentration parameter. This is in contrast to the asymptotic behavior of such classical IV estimators as LIML, B2SLS, and 2SLS, all of which are inconsistent in the presence of heteroskedasticity, unless Kn/rn → 0. We also show that the rate of convergence and the form of the asymptotic covariance matrix of the JIV estimators will in general depend on the strength of the instruments as measured by the relative orders of magnitude of rn and Kn.en
dc.language.isoengen
dc.publisher|aThe Johns Hopkins University, Department of Economics |cBaltimore, MDen
dc.relation.ispartofseries|aWorking Paper |x567en
dc.subject.jelC13en
dc.subject.jelC31en
dc.subject.ddc330en
dc.subject.keywordheteroskedasticityen
dc.subject.keywordinstrumental variablesen
dc.subject.keywordjackknife estimationen
dc.subject.keywordmany instrumentsen
dc.subject.keywordweak instrumentsen
dc.titleAsymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments-
dc.typeWorking Paperen
dc.identifier.ppn63817970Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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