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Jackknife instrumental variable estimation with heteroskedasticity

Bekker, Paul A. and Crudu, Federico (2015) Jackknife instrumental variable estimation with heteroskedasticity. Journal of econometrics, Vol. 185 (2), p. 332-342. ISSN 0304-4076. eISSN 1872-6895. Article.

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DOI: 10.1016/j.jeconom.2014.08.012

Abstract

We present a new jackknife estimator for instrumental variable inference with unknown heteroskedasticity. It weighs observations such that many-instruments consistency is guaranteed while the signal component in the data is maintained. We show that this results in a smaller signal component in the many instruments asymptotic variance when compared to estimators that neglect a part of the signal to achieve consistency. Both many strong instruments and many weak instruments asymptotic distributions are derived using high-level assumptions that allow for instruments with identifying power that varies between explanatory variables. Standard errors are formulated compactly. We review briefly known estimators and show in particular that our symmetric jackknife estimator performs well when compared to the HLIM and HFUL estimators of Hausman et al. in Monte Carlo experiments.

Item Type:Article
ID Code:10616
Status:Published
Refereed:Yes
Uncontrolled Keywords:Instrumental variables, heteroskedasticity, many instruments, Jackknife
Subjects:Area 13 - Scienze economiche e statistiche > SECS-P/06 Economia applicata
Divisions:002 Altri enti e centri di ricerca del Nord Sardegna > CRENoS-Centro Ricerche Economiche Nord Sud, Università di Cagliari e Università di Sassari
001 Università di Sassari > 01-a Nuovi Dipartimenti dal 2012 > Scienze economiche e aziendali
Publisher:Elsevier
ISSN:0304-4076
eISSN:1872-6895
Deposited On:14 Jan 2015 13:40

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