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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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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Federico Crudu & Giovanni Mellace & Zsolt Sandor, 2017. "Inference in instrumental variables models with heteroskedasticity and many instruments," Department of Economics University of Siena 761, Department of Economics, University of Siena.
    2. Bekker, Paul & Wansbeek, Tom, 2016. "Simple many-instruments robust standard errors through concentrated instrumental variables," Economics Letters, Elsevier, vol. 149(C), pages 52-55.
    3. repec:eee:econom:v:200:y:2017:i:2:p:169-180 is not listed on IDEAS
    4. repec:eee:econom:v:204:y:2018:i:1:p:86-100 is not listed on IDEAS
    5. 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.
    6. 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.
    7. 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.

    More about this item

    Keywords

    Instrumental variables; Heteroskedasticity; Many instruments; Jackknife;

    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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