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...
| Main Authors: | , , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
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 |