ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS

ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS

This paper derives the limiting distributions of alternative jackknife instrumental variables (JIV) estimators and gives formulas for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of...

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Bibliographic Details
Main Authors: Chao, John C., Swanson, Norman R., Hausman, Jerry A., Newey, Whitney K., Woutersen, Tiemen
Other Authors: Massachusetts Institute of Technology. Department of Economics
Format: Article
Language:en_US
Published: Cambridge University Press 2013
Online Access:http://hdl.handle.net/1721.1/82651
https://orcid.org/0000-0003-2699-4704
https://orcid.org/0000-0002-5433-9435

Internet

http://hdl.handle.net/1721.1/82651
https://orcid.org/0000-0003-2699-4704
https://orcid.org/0000-0002-5433-9435

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