Testing overidentifying restrictions with many instruments and heteroskedasticity
This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the overidentifying test statistic. Correct asymptotic critical values are derived for this statistic when the number of instruments grows large, a...
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| Format: | Article |
| Language: | en_US |
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Elsevier
2017
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| Online Access: | http://hdl.handle.net/1721.1/106873 https://orcid.org/0000-0002-5433-9435 https://orcid.org/0000-0003-2699-4704 |
| _version_ | 1811070076182331392 |
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| author | Chao, John C. Swanson, Norman R. Woutersen, Tiemen Hausman, Jerry A Newey, Whitney K |
| author2 | Massachusetts Institute of Technology. Department of Economics |
| author_facet | Massachusetts Institute of Technology. Department of Economics Chao, John C. Swanson, Norman R. Woutersen, Tiemen Hausman, Jerry A Newey, Whitney K |
| author_sort | Chao, John C. |
| collection | MIT |
| description | This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the overidentifying test statistic. Correct asymptotic critical values are derived for this statistic 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 of 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. This paper finds in Monte Carlo studies that the test is more accurate and less sensitive to the number of instruments than the Hausman–Sargan or GMM tests of overidentifying restrictions. |
| first_indexed | 2024-09-23T08:23:14Z |
| format | Article |
| id | mit-1721.1/106873 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T08:23:14Z |
| publishDate | 2017 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | mit-1721.1/1068732022-09-23T12:36:59Z Testing overidentifying restrictions with many instruments and heteroskedasticity Chao, John C. Swanson, Norman R. Woutersen, Tiemen Hausman, Jerry A Newey, Whitney K Massachusetts Institute of Technology. Department of Economics Hausman, Jerry A Newey, Whitney K This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the overidentifying test statistic. Correct asymptotic critical values are derived for this statistic 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 of 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. This paper finds in Monte Carlo studies that the test is more accurate and less sensitive to the number of instruments than the Hausman–Sargan or GMM tests of overidentifying restrictions. National Science Foundation (U.S.) 2017-02-06T19:02:53Z 2017-02-06T19:02:53Z 2013-09 Article http://purl.org/eprint/type/JournalArticle 03044076 0304-4076 http://hdl.handle.net/1721.1/106873 Chao, John C. et al. “Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity.” Journal of Econometrics 178 (2014): 15–21. https://orcid.org/0000-0002-5433-9435 https://orcid.org/0000-0003-2699-4704 en_US http://dx.doi.org/10.1016/j.jeconom.2013.08.003 Journal of Econometrics Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Elsevier Other univ. web domain |
| spellingShingle | Chao, John C. Swanson, Norman R. Woutersen, Tiemen Hausman, Jerry A Newey, Whitney K Testing overidentifying restrictions with many instruments and heteroskedasticity |
| title | Testing overidentifying restrictions with many instruments and heteroskedasticity |
| title_full | Testing overidentifying restrictions with many instruments and heteroskedasticity |
| title_fullStr | Testing overidentifying restrictions with many instruments and heteroskedasticity |
| title_full_unstemmed | Testing overidentifying restrictions with many instruments and heteroskedasticity |
| title_short | Testing overidentifying restrictions with many instruments and heteroskedasticity |
| title_sort | testing overidentifying restrictions with many instruments and heteroskedasticity |
| url | http://hdl.handle.net/1721.1/106873 https://orcid.org/0000-0002-5433-9435 https://orcid.org/0000-0003-2699-4704 |
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