A conditional linear combination test with many weak instruments

• Main Authors: Lim, Dennis, Wang, Wenjie, Zhang, Yichong
• Other Authors: School of Social Sciences
• Format: Article
• Language: English
• Published: 2024
• Subjects: Social sciences::Economic theory; Many Instruments; Weak Identification
• Online Access: https://hdl.handle.net/10356/173316
• Institution: Nanyang Technological University

We consider a linear combination of jackknife Anderson-Rubin (AR), jackknife Lagrangian multiplier (LM), and orthogonalized jackknife LM tests for inference in IV regressions with many weak instruments and heteroskedasticity. Following I.Andrews (2016), we choose the weights in the linear combinatio...