761. Inference in instrumental variables models with heteroskedasticity and many instruments

Federico Crudu

DEPS, USiena

Giovanni Mellace

University of Southern Denmark

Zsolt Sandor

Sapientia University Miercurea Ciuc

Abstract

This paper proposes a specication test for instrumental variable models that is robust to the presence of heteroskedasticity. The test can be seen as a generalization the Anderson-Rubin test. Our approach is based on the jackknife principle. We are able to show that under the null the proposed statistic has a Gaussian limiting distribution. Moreover, a simulation study shows its competitive nite sample properties in terms of size and power.

Keywords

Instrumental variables, heteroskedasticity, many instruments, jackknife, specication tests, overidentication tests

Jel Codes

C12, C13, C23.