A conditional linear combination test with many weak instruments
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...
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| Main Authors: | , , |
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| 格式: | Article |
| 語言: | English |
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2024
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| 在線閱讀: | https://hdl.handle.net/10356/173316 |
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| 機構: | Nanyang Technological University |
| 語言: | English |