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Jackknife instrumental variable estimation with heteroskedasticity

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  • Bekker, Paul A.
  • Crudu, Federico

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.

Suggested Citation

  • Bekker, Paul A. & Crudu, Federico, 2015. "Jackknife instrumental variable estimation with heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 332-342.
    • Handle: RePEc:eee:econom:v:185:y:2015:i:2:p:332-342
    DOI: 10.1016/j.jeconom.2014.08.012
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    Cited by:

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    2. Crudu, Federico & Mellace, Giovanni & Sándor, Zsolt, 2021. "Inference In Instrumental Variable Models With Heteroskedasticity And Many Instruments," Econometric Theory, Cambridge University Press, vol. 37(2), pages 281-310, April.
    3. Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "A specification test for the strength of instrumental variables," Papers 2302.14396, arXiv.org.
    4. Bekker, Paul & Wansbeek, Tom, 2016. "Simple many-instruments robust standard errors through concentrated instrumental variables," Economics Letters, Elsevier, vol. 149(C), pages 52-55.
    5. Meijer, Erik & Spierdijk, Laura & Wansbeek, Tom, 2017. "Consistent estimation of linear panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 169-180.
    6. Johannes W. Ligtenberg, 2023. "Inference in IV models with clustered dependence, many instruments and weak identification," Papers 2306.08559, arXiv.org, revised Mar 2024.
    7. Morales-Oñate, Víctor & Crudu, Federico & Bevilacqua, Moreno, 2021. "Blockwise Euclidean likelihood for spatio-temporal covariance models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 176-201.
    8. Kolesár, Michal, 2018. "Minimum distance approach to inference with many instruments," Journal of Econometrics, Elsevier, vol. 204(1), pages 86-100.
    9. Tom Boot & Didier Nibbering, 2024. "Inference on LATEs with covariates," Papers 2402.12607, arXiv.org, revised Nov 2024.
    10. Murray Michael P., 2017. "Linear Model IV Estimation When Instruments Are Many or Weak," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-22, January.
    11. Chao, John C. & Swanson, Norman R. & Woutersen, Tiemen, 2023. "Jackknife estimation of a cluster-sample IV regression model with many weak instruments," Journal of Econometrics, Elsevier, vol. 235(2), pages 1747-1769.
    12. Qingliang Fan & Zijian Guo & Ziwei Mei, 2022. "A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates," Papers 2205.00171, arXiv.org, revised May 2024.
    13. Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
    14. Crudu, F.; & Neri, L.; & Tiezzi, S.;, 2018. "Family Ties and Children Obesity in Italy," Health, Econometrics and Data Group (HEDG) Working Papers 18/09, HEDG, c/o Department of Economics, University of York.
    15. Tom Boot & Johannes W. Ligtenberg, 2023. "Identification- and many instrument-robust inference via invariant moment conditions," Papers 2303.07822, arXiv.org, revised Sep 2023.

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    More about this item

    Keywords

    Instrumental variables; Heteroskedasticity; Many instruments; Jackknife;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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