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, a...
| Main Authors: | , , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier,
2017-02-06T19:02:53Z.
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| Subjects: | |
| Online Access: | Get fulltext |