Carrasco, Marine and Doukali, Mohamed 
ORCID: 0000-0001-9315-2326
(2021)
Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV.
The Econometrics Journal, 25 (1).
pp. 71-97.
ISSN 1368-4221, 1368-423X
Abstract
<jats:title>Summary</jats:title><jats:p>This paper proposes a new overidentifying restrictions test in a linear model when the number of instruments (possibly weak) may be smaller or larger than the sample size n or even infinite in a heteroscedastic framework. The proposed J test combines two techniques: the jackknife method and the regularisation technique which consists in stabilising the projection matrix. We theoretically show that our new test achieves the asymptotically correct size in the presence of many instruments. The simulation results demonstrate that our modified J statistic test has better empirical properties in small samples than existing J tests. We also propose a regularised F-test to assess the strength of the instruments, which is robust to heteroscedasticity and many instruments.</jats:p>
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | 38 Economics, 4905 Statistics, 3802 Econometrics, 49 Mathematical Sciences |
| Divisions: | Faculty of Humanities and Social Sciences > School of Management |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 20 Oct 2023 09:15 |
| Last Modified: | 06 Dec 2024 17:04 |
| DOI: | 10.1093/ectj/utab020 |
| Open Access URL: | https://academic.oup.com/ectj/article/25/1/71/6318... |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3174346 |
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