Testing overidentifying restrictions with many instruments and heteroskedasticity
نویسندگان
چکیده
منابع مشابه
Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity∗
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 overidentifying test statistic. Correct asymptotic critical values are derived for this statistic 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 instrumen...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2014
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2013.08.003