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...

詳細記述

書誌詳細
主要な著者: Chao, John C., Swanson, Norman R., Hausman, Jerry A., Newey, Whitney K., Woutersen, Tiemen
その他の著者: Massachusetts Institute of Technology. Department of Economics
フォーマット: 論文
言語:en_US
出版事項: Cambridge University Press 2013
オンライン・アクセス:http://hdl.handle.net/1721.1/82651
https://orcid.org/0000-0003-2699-4704
https://orcid.org/0000-0002-5433-9435