A conditional linear combination test with many weak instruments

A conditional linear combination test with many weak instruments

We consider a linear combination of jackknife Anderson-Rubin (AR), jackknife Lagrangian multiplier (LM), and orthogonalized jackknife LM tests for inference in IV regressions with many weak instruments and heteroskedasticity. Following I.Andrews (2016), we choose the weights in the linear combinatio...

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Bibliographic Details
Main Authors: Lim, Dennis, Wang, Wenjie, Zhang, Yichong
Other Authors: School of Social Sciences
Format: Journal Article
Language:English
Published: 2024
Subjects:
Social sciences::Economic theory
Many Instruments
Weak Identification
Online Access:https://hdl.handle.net/10356/173316

Internet

https://hdl.handle.net/10356/173316

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