allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic …) under homoskedasticity, and has much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …

allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. …

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It … allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. The asymptotics is based on … the heteroskedasticity robust many instrument asymptotics of Chao et. al. (2010). …

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework … inconsistent in the presence of heteroskedasticity, unless Kn/rn → 0. We also show that the rate of convergence and the form of the …

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It … tests by allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. This paper finds …

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It … allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. The asymptotics is based on … the heteroskedasticity robust many instrument asymptotics of Chao et. al. (2010). …

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework … inconsistent in the presence of heteroskedasticity, unless [...] → 0. We also show that the rate of convergence and the form of the …

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework … heteroskedasticity, unless Kn/rn → 0. We also show that the rate of convergence and the form of the asymptotic covariance matrix of the …

heteroskedasticity of unknown form. This is not the case, however, with other well-known IV estimators, such as LIML, Fuller's modified … LIML, 2SLS, and B2SLS, which are shown to be inconsistent in general under heteroskedasticity. We also introduce new … heteroskedasticity of unknown form, is important from the perspective of empirical application, given that testing general linear and …

accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework … are inconsistent in the presence of heteroskedasticity, unless \frac{K_n}{r_n}\to 0. We also show that the rate of … instruments as measured by the relative orders of magnitude of r_n and K_n. -- heteroskedasticity ; instrumental variables …