EconPapers    
Economics at your fingertips  
 

Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity

Norman Swanson (), John Chao (), Jerry Hausman, Whitney Newey and Tiemen Woutersen ()
Additional contact information
Tiemen Woutersen: Johns Hopkins University

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger (1999). Correct asymptotic critical values are derived for this test when the number of instruments grows large, at a rate up to the sample size. It is also shown that the test is valid when the number instruments is fixed and there is homoskedasticity. This test improves on recently proposed tests by allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. The asymptotics is based on the heteroskedasticity robust many instrument asymptotics of Chao et. al. (2010).

Keywords: heteroskedasticity; instrumental variables; jackknife estimation; many instruments; weak instruments (search for similar items in EconPapers)
JEL-codes: C13 C31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2011-05-15
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sas.rutgers.edu/virtual/snde/wp/2011-18.pdf (application/pdf)

Related works:
Journal Article: Testing overidentifying restrictions with many instruments and heteroskedasticity (2014) Downloads
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:rut:rutres:201118

Access Statistics for this paper

More papers in Departmental Working Papers from Rutgers University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-12-05
Handle: RePEc:rut:rutres:201118