ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
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New York, USA: Cambridge University Press
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English
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New York, USA: Cambridge University Press
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This paper derives the limiting distributions of alternative jackknife instrumental variables (JIV) estimators and gives formulas for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994, Econometrica 62, 657–681) and the ma...
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ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
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TN_cdi_proquest_journals_921640858
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_921640858
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ISSN
0266-4666
E-ISSN
1469-4360
DOI
10.1017/S0266466611000120
