Inference Using Instrumental Variable Estimators
Rodrigo Alfaro ()
Working Papers Central Bank of Chile from Central Bank of Chile
This paper studies inference performance of Instrumental Variables Estimators in situations where error terms are heteroskedastic and there are many instruments. In particular, performance of a estimator proposed by Hausman, Newey, Woutersen, Chao, and Swanson (2007) with the robust version of JIVE -proposed by Angrist, Imbens and Krueger (1999)- is analyzed. Theoretical results are presented for the robust t-statistics, which is mostly affected by the finite-sample bias of the estimator.
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:464
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