Testing overidentifying restrictions with many instruments and heteroskedasticity

DOI10.1016/j.jeconom.2013.08.003zbMath1293.62122OpenAlexW3122969892MaRDI QIDQ2512594

Tiemen Woutersen, John C. Chao, Norman R. Swanson, Jerry A. Hausman, Whitney K. Newey

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2011-18.pdf

zbMATH Keywords

instrumental variablesweak instrumentsmany instrumentsheteroskedasticityoveridentification testsspecifications tests

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (16)

Linear model IV estimation when instruments are many or weak ⋮ Instrumental variable estimation of factor models with possibly many variables ⋮ Jackknife estimation of a cluster-sample IV regression model with many weak instruments ⋮ Testing many restrictions under heteroskedasticity ⋮ Testing underidentification in linear models, with applications to dynamic panel and asset pricing models ⋮ Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment ⋮ Minimum distance approach to inference with many instruments ⋮ Testing Endogeneity with High Dimensional Covariates ⋮ Testing overidentifying restrictions with many instruments and heteroskedasticity ⋮ Bootstrap inference for instrumental variable models with many weak instruments ⋮ Properties of the CUE estimator and a modification with moments ⋮ Hypothesis testing in linear regression when \(k/n\) is large ⋮ Hahn-Hausman test as a specification test ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ Jackknife instrumental variable estimation with heteroskedasticity ⋮ Efficient Estimation with Many Weak Instruments Using Regularization Techniques

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
• ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
• The Estimation of Economic Relationships using Instrumental Variables
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
• Some Properties of a Modification of the Limited Information Estimator
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Consistent Estimation with a Large Number of Weak Instruments

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