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...
| Main Authors: | , , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Cambridge University Press
2013
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| Online Access: | http://hdl.handle.net/1721.1/82651 https://orcid.org/0000-0003-2699-4704 https://orcid.org/0000-0002-5433-9435 |