Instrumental variable estimation with heteroskedasticity and many instruments

DOI10.3982/QE89zbMath1408.62037OpenAlexW2101986691MaRDI QIDQ4559975

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

Publication date: 4 December 2018

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe89

zbMATH Keywords

jackknifeinstrumental variablesmany instrumentsheteroskedasticitylimited-information maximum likelihood (LIML) estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Point estimation (62F10)

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