Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects of counterfactual policy changes. If the function is continuously differentiable and has non-zero and bounded derivatives, then they can use the delta method. However, if the function...

<p><p><p><p><p><p><p>It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information maximum likelihood (LIML) and Fuller (1977, FULL)...</p></p></p></p></p></p></p>

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators in the presence of estimated nuisance parameters. We consider cases in which the nuisance parameter is estimated from independent and identical samples. A simulation experiment is...