Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV
基于正则化刀切工具变量法的多工具变量异方差过度识别检验
Summary This paper proposes a new overidentifying restrictions test in a linear model when the number of instruments (possibly weak) may be smaller or larger than the sample size n or even infinite in a heteroscedastic framework. The proposed J test combines two techniques: the jackknife method and the regularisation technique which consists in stabilising the projection matrix. We theoretically show that our new test achieves the asymptotically correct size in the presence…