In this paper, we propose a fix to the size distortions of tests for structural parameters in the simultaneous equations model by computing critical value functions based on the conditional distribution of test statistics. The conditional tests can then be used to construct informative...

We consider the bias of the two-stage least squares (2SLS) estimator in linear instrumental variable regression with only one endogenous regressor. By using asymptotic expansion techniques, we approximate the 2SLS coefficient estimation bias under various scenarios regarding the number and...

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the Sargan test statistic, having a numerator that is the objective function minimized by the JIVE2 estimator of Angrist, Imbens, and Krueger...

This paper derives the limiting distributions of alternative jackknife IV (JIV ) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

focus on the ability of the instrument set to predict a single endogenous regressor, even if there is more than one endogenous regressor in the equation of interest. We propose new measures of instrument relevance in the presence of multiple endogenous regressors, taking both univariate and...