@article{6b401d9b83b349e2a1aa8b7aec06a995,
title = "Jackknife estimation of a cluster-sample IV regression model with many weak instruments",
abstract = "This paper proposes new jackknife IV estimators that are robust to the effects of many weak instruments and error heteroskedasticity in a cluster sample setting with cluster-specific effects and possibly many included exogenous regressors. The estimators that we propose are designed to properly partial out the cluster-specific effects and included exogenous regressors while preserving the re-centering property of the jackknife methodology. To the best of our knowledge, our proposed procedures provide the first consistent estimators under many weak instrument asymptotics in the setting considered. We also present results on the asymptotic normality of our estimators and show that t-statistics based on said estimators are asymptotically normal under the null and consistent under fixed alternatives. Monte Carlo results show that our t-statistics perform better in controlling size in finite samples than those based on alternative jackknife IV procedures previously introduced in the literature.",
keywords = "Cluster sample, Heteroskedasticity, Instrumental variables, Jackknife, Many weak instruments, Panel data",
author = "Chao, {John C.} and Swanson, {Norman R.} and Tiemen Woutersen",
note = "Funding Information: The authors would like to thank the Editor, Xiaohong Chen, an Associate Editor, and an anonymous referee for very helpful comments and suggestions. The authors also owe special thanks to Jerry Hausman and Whitney Newey for many discussions on the topic of this paper over a number of years. In addition, thanks are owed to the participants of the 2019 MIT Conference Honoring Whitney Newey for comments on and advice given on an earlier version of this work. Finally, the authors wish to thank Miriam Arden for excellent research assistance. Chao thanks the University of Maryland for research support, and Woutersen{\textquoteright}s work was supported by an Eller College of Management Research Grant, United States of America . Funding Information: The authors would like to thank the Editor, Xiaohong Chen, an Associate Editor, and an anonymous referee for very helpful comments and suggestions. The authors also owe special thanks to Jerry Hausman and Whitney Newey for many discussions on the topic of this paper over a number of years. In addition, thanks are owed to the participants of the 2019 MIT Conference Honoring Whitney Newey for comments on and advice given on an earlier version of this work. Finally, the authors wish to thank Miriam Arden for excellent research assistance. Chao thanks the University of Maryland for research support, and Woutersen's work was supported by an Eller College of Management Research Grant, United States of America. Publisher Copyright: {\textcopyright} 2023",
year = "2023",
month = aug,
doi = "10.1016/j.jeconom.2022.12.011",
language = "English (US)",
volume = "235",
pages = "1747--1769",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "2",
}