ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS

By John C. Chao, Norman R. Swanson, Jerry A. Hausman, Whitney K. Newey, Tiemen Woutersen. Econometric Theory, 2011

113 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/043780886d7ed532377563eeff9a645e5233cc15

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Michael J. Kolesar
2. Jerry A. Hausman
3. Whitney K. Newey
4. P. Devereux
5. Daniel A. Ackerberg
6. Norman R. Swanson
7. Tiemen Woutersen
8. John C. Chao

In Statistics and Probability

1. Michael J. Kolesar
2. Whitney K. Newey
3. Norman R. Swanson
4. John C. Chao
5. Tiemen Woutersen
6. Daniel A. Ackerberg
7. Jerry A. Hausman
8. P. Devereux

Citations in the corpus

• Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity (2009, background): “p lim(β)− β = p lim X C /N p lim [X C X/N ] = limN,K1→∞ E X C /N limN,K1→∞ E [X C X/N ] (11)”
• ESTIMATION IN AN INSTRUMENTAL VARIABLES MODEL WITH TREATMENT EFFECT HETEROGENEITY (2012, methodology): “• If there are no covariates Wi, then the hlim estimator of Hausman et al. (2012) also admits this minimum distance representation, with Ξ̂ = 1 n ( Y T )′ (HZ −DZ) ( Y T ) , Ŝ = 1 n− K ( Y T )′ (MZ + DZ) ( Y T ) .”
• Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach (2015, unknown): “The unprincipled use of stepwise regression fails to control spurious inclusion of irrelevant variables which leads to inclusion of many essentially irrelevant variables, resulting in many-instrument-type problems (e.g. Chao et al. (2012)).”
• Instrumental Variable Estimation with Heteroskedasticity and Many Instruments (2012, methodology): “The solution is a Fuller (1977) like estimator and standard errors that are robust to heteroskedasticity and many instruments.”
• A Robust Test for Weak Instruments in Stata (2015, background): “Andrews and Stock (2006), Kleibergen (2007), Antoine and Lavergne (2012), Chao et al.”
• Leave‐Out Estimation of Variance Components (2018, unknown): “Theorem 2 extends some common results in the literature on many and many weak instruments (see, e.g., Chao et al., 2012) where the estimators are asymptotically equivalent to quadratic forms.”