Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity
AbstractThis 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).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 201118.
Length: 20 pages
Date of creation: 15 May 2011
Date of revision:
Contact details of provider:
Postal: New Jersey Hall - 75 Hamilton Street, New Brunswick, NJ 08901-1248
Phone: (732) 932-7482
Fax: (732) 932-7416
Web page: http://snde.rutgers.edu/Rutgers/wp/rutgers-wplist.html
More information through EDIRC
heteroskedasticity; instrumental variables; jackknife estimation; many instruments; weak instruments;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Angrist, J D & Imbens, G W & Krueger, A B, 1999.
"Jackknife Instrumental Variables Estimation,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 14(1), pages 57-67, Jan.-Feb..
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
- Chao, John Chao & Norman R. Swanson, 2003.
"Consistent Estimation with a Large Number of Weak Instruments,"
Cowles Foundation Discussion Papers
1417, Cowles Foundation for Research in Economics, Yale University.
- John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, 09.
- John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics.
- John C. Chao & Norman Rasmus Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Yale School of Management Working Papers ysm374, Yale School of Management.
- Phillips, Garry D A & Hale, C, 1977. "The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(1), pages 219-28, February.
- Daniel A. Ackerberg & Paul J. Devereux, 2008.
"Improved Jive Estimators for Overidentified Linear Models with and without Heteroskedasticity,"
200817, School Of Economics, University College Dublin.
- Daniel A. Ackerberg & Paul J. Devereux, 2009. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 91(2), pages 351-362, May.
- Ackerberg, Daniel & Devereux, Paul J., 2008. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," CEPR Discussion Papers 6926, C.E.P.R. Discussion Papers.
- Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May.
- Blomquist, Soren & Dahlberg, Matz, 1999. "Small Sample Properties of LIML and Jackknife IV Estimators: Experiments with Weak Instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 69-88, Jan.-Feb..
- Stanislav Anatolyev & Nikolay Gospodinov, 2008.
"Specification Testing in Models with Many Instruments,"
w0124, Center for Economic and Financial Research (CEFIR).
- Anatolyev, Stanislav & Gospodinov, Nikolay, 2011. "Specification Testing In Models With Many Instruments," Econometric Theory, Cambridge University Press, vol. 27(02), pages 427-441, April.
- Paul A. Bekker & Jan Ploeg, 2005. "Instrumental variable estimation based on grouped data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(3), pages 239-267.
- Hansen, Christian & Hausman, Jerry & Newey, Whitney, 2008.
"Estimation With Many Instrumental Variables,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 26, pages 398-422.
- Yoonseok Lee & Ryo Okui, 2009. "A Specification Test for Instrumental Variables Regression with Many Instruments," Cowles Foundation Discussion Papers 1741, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Stock, James H., 2007. "Testing with many weak instruments," Journal of Econometrics, Elsevier, vol. 138(1), pages 24-46, May.
- Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.