Inference in instrumental variables models with heteroskedasticity and many instruments

Federico Crudu (), Giovanni Mellace and Zsolt Sandor ()

Department of Economics University of Siena from Department of Economics, University of Siena

Abstract: This paper proposes a specification test for instrumental variable models that is robust to the presence of heteroskedasticity. The test can be seen as a generalization the Anderson-Rubin test. Our approach is based on the jackknife principle. We are able to show that under the null the proposed statistic has a Gaussian limiting distribution. Moreover, a simulation study shows its competitive finite sample properties in terms of size and power

Keywords: Instrumental variables; heteroskedasticity; many instruments; jackknife; specification tests; overidentification tests (search for similar items in EconPapers)
JEL-codes: C12 C13 C23 (search for similar items in EconPapers)
Date: 2017-11
New Economics Papers: this item is included in nep-ecm and nep-ore
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Related works:
Journal Article: INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS (2021)
Working Paper: Inference in instrumental variables models with heteroskedasticity and many instruments (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:usi:wpaper:761

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