Testing overidentifying restrictions with many instruments and heteroskedasticity

Arbeitspapier

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).

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2011-18

Classification and Topics

• Classification: Wirtschaft ; Estimation: General ; Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
• Subject: heteroskedasticity ; instrumental variables ; jackknife estimation ; many instruments ; weak instruments ; Heteroskedastizität ; Instrumentalvariablen-Schätzmethode ; Schätztheorie ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chao, John C. ; Hausman, Jerry A. ; Newey, Whitney K. ; Swanson, Norman R. ; Woutersen, Tiemen
• Event: Veröffentlichung
• (who): Rutgers University, Department of Economics
• (where): New Brunswick, NJ
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/59468
• Last update: 10.03.2025, 11:43 AM CET