Jackknife Instrumental Variable Estimation with Heteroskedasticity

P.A. Bekker and Federico Crudu ()

Working Paper CRENoS from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

Abstract: We present a new genuine jackknife estimator for instrumental variable inference with unknown heteroskedasticity. It weighs observations such that many- instruments consistency is guaranteed while the signal component in the data is maintained. We show that this results in a smaller signal component in the many- instruments asymptotic variance when compared to estimators that neglect a part of the signal to achieve consistency. Both many-instruments and many-weak- instruments asymptotic distributions are derived using high-level assumptions that allow for the simultaneous presence of weak and strong instruments for different explanatory variables. Standard errors are formulated compactly. We review briefly known estimators and show in particular that our symmetric jackknife estimator performs well when compared to the HLIM and HFUL estimators of Hausman et al. in Monte Carlo experiments.

Keywords: Instrumental Variables; Heteroskedasticity; Many Instruments; Jackknife (search for similar items in EconPapers)
JEL-codes: C12 C13 C23 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://crenos.unica.it/crenos/node/6366
https://crenos.unica.it/crenos/sites/default/files/WP13-13.pdf (application/pdf)

Related works:
Journal Article: Jackknife instrumental variable estimation with heteroskedasticity (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cns:cnscwp:201313

Access Statistics for this paper

More papers in Working Paper CRENoS from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Contact information at EDIRC.
Bibliographic data for series maintained by CRENoS ().