This paper gives a new jackknife estimator for instrumental variable inference with unknown heteroskedasticity. The estimator is derived by using a method of moments approach similar to the one that produces LIML in case of homoskedasticity. The estimator is symmetric in the endogenous variables...

We present a new jackknife estimator for instrumental variable inference with unknown heteroskedasticity. It weighs observations such that many-instruments consistency is guaranteed while the signal component in the data is maintained. We show that this results in a smaller signal component in...