Econometrics Seminar

Speaker: Federico Crudu

Title: Jackknife Instrumental Variable Inference

Format: Hybrid

Abstract: This paper introduces a class of jackknife-based test statistics for linear regression models with endogeneity and heteroskedasticity in the presence of many potentially weak instrumental variables. The tests may be used  when considering hypotheses on the full parameter vector or hypotheses defined as linear restrictions. We show that in the limit and under the null the proposed statistics are distributed as a combination of chi squares but more familiar chi square limits may be derived. A simulation study shows the competitive power properties of most of the proposed tests.

Organisers: Julien and Pietro

For more information, please contact the organisers.