Instrumental variable estimation with heteroskedasticity and many instruments
This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The sol...
| Main Authors: | , , , , |
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| Other Authors: | |
| Format: | Article |
| Published: |
The Econometric Society
2018
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| Online Access: | http://hdl.handle.net/1721.1/114254 https://orcid.org/0000-0002-5433-9435 https://orcid.org/0000-0003-2699-4704 |