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dc.contributor.authorChao, John C.en
dc.contributor.authorHausman, Jerry A.en
dc.contributor.authorNewey, Whitney K.en
dc.contributor.authorSwanson, Norman R.en
dc.contributor.authorWoutersen, Tiemenen
dc.date.accessioned2011-06-14-
dc.date.accessioned2012-06-25T11:57:19Z-
dc.date.available2012-06-25T11:57:19Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aRutgers University, Department of Economics |cNew Brunswick, NJen
dc.relation.ispartofseries|aWorking Paper |x2011-18en
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.subject.stwHeteroskedastizitäten
dc.subject.stwInstrumentalvariablen-Schätzmethodeen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.titleTesting overidentifying restrictions with many instruments and heteroskedasticity-
dc.typeWorking Paperen
dc.identifier.ppn662053761en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:rut:rutres:201118en

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