INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS

DOI10.1017/S026646662000016XzbMath1467.62096OpenAlexW3013872778MaRDI QIDQ4993889

Zsolt Sándor, Federico Crudu, Giovanni Mellace

Publication date: 11 June 2021

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646662000016x

zbMATH Keywords

instrumental variable model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

Breaking the winner's curse in Mendelian randomization: rerandomized inverse variance weighted estimator ⋮ Jackknife estimation of a cluster-sample IV regression model with many weak instruments ⋮ A conditional linear combination test with many weak instruments ⋮ Testing many restrictions under heteroskedasticity

Uses Software

• ivmodel

Cites Work

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