A conditional linear combination test with many weak instruments

• المؤلفون الرئيسيون: Lim, Dennis, Wang, Wenjie, Zhang, Yichong
• مؤلفون آخرون: School of Social Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2024
• الموضوعات: Social sciences::Economic theory; Many Instruments; Weak Identification
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/173316

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...