A ridge-regularized jackknifed Anderson-Rubin test
We consider hypothesis testing in instrumental variable regression models with few included exogenous covariates but many instruments—possibly more than the number of observations. We show that a ridge-regularized version of the jackknifed Anderson and Rubin (henceforth AR) test controls asymptotic...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor & Francis
2024
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