{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T02:26:20Z","timestamp":1792808780875,"version":"4.5.0"},"reference-count":38,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2020,3,26]],"date-time":"2020-03-26T00:00:00Z","timestamp":1585180800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2021,4]]},"abstract":"<jats:p>This paper proposes novel inference procedures for instrumental variable models in the presence of many, potentially weak instruments that are robust to the presence of heteroskedasticity. First, we provide an Anderson\u2013Rubin-type test for the entire parameter vector that is valid under assumptions weaker than previously proposed Anderson\u2013Rubin-type tests. Second, we consider the case of testing a subset of parameters under the assumption that a consistent estimator for the parameters not under test exists. We show that under the null, the proposed statistics have Gaussian limiting distributions and derive alternative chi-square approximations. An extensive simulation study shows the competitive finite sample properties in terms of size and power of our procedures. Finally, we provide an empirical application using college proximity instruments to estimate the returns to education.<\/jats:p>","DOI":"10.1017\/s026646662000016x","type":"journal-article","created":{"date-parts":[[2020,3,26]],"date-time":"2020-03-26T08:17:13Z","timestamp":1585210633000},"page":"281-310","source":"Crossref","is-referenced-by-count":18,"title":["INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS"],"prefix":"10.1017","volume":"37","author":[{"given":"Federico","family":"Crudu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Giovanni","family":"Mellace","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zsolt","family":"S\u00e1ndor","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2020,3,26]]},"reference":[{"key":"S026646662000016X_r1","doi-asserted-by":"publisher","DOI":"10.1111\/joes.12295"},{"key":"S026646662000016X_r24","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466605050371"},{"key":"S026646662000016X_r22","doi-asserted-by":"publisher","DOI":"10.3982\/QE1116"},{"key":"S026646662000016X_r35","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.01.012"},{"key":"S026646662000016X_r8","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.012"},{"key":"S026646662000016X_r25","doi-asserted-by":"publisher","DOI":"10.3982\/QE89"},{"key":"S026646662000016X_r38","doi-asserted-by":"publisher","DOI":"10.2307\/2171753"},{"key":"S026646662000016X_r2","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466610000307"},{"key":"S026646662000016X_r31","doi-asserted-by":"publisher","DOI":"10.1162\/003465304774201833"},{"key":"S026646662000016X_r36","doi-asserted-by":"crossref","first-page":"687","DOI":"10.3982\/ECTA6224","article-title":"Generalized method of moments with many weak moment conditions","volume":"77","author":"Newey","year":"2009","journal-title":"Econometrica"},{"key":"S026646662000016X_r33","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.10.005"},{"key":"S026646662000016X_r32","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00610.x"},{"key":"S026646662000016X_r23","doi-asserted-by":"crossref","first-page":"2649","DOI":"10.3982\/ECTA8953","article-title":"On the asymptotic sizes of subset Anderson\u2013Rubin and Lagrange multiplier tests in linear instrumental variables regression","volume":"80","author":"Guggenberger","year":"2012","journal-title":"Econometrica"},{"key":"S026646662000016X_r12","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.08.012"},{"key":"S026646662000016X_r3","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466616000165"},{"key":"S026646662000016X_r6","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00680.x"},{"key":"S026646662000016X_r11","doi-asserted-by":"publisher","DOI":"10.2307\/2951662"},{"key":"S026646662000016X_r20","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9957.00086"},{"key":"S026646662000016X_r39","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618658"},{"key":"S026646662000016X_r37","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2017.05.003"},{"key":"S026646662000016X_r44","doi-asserted-by":"publisher","DOI":"10.2307\/2527355"},{"key":"S026646662000016X_r13","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9574.2005.00296.x"},{"key":"S026646662000016X_r17","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.08.003"},{"key":"S026646662000016X_r29","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2014.994705"},{"key":"S026646662000016X_r41","doi-asserted-by":"publisher","DOI":"10.1016\/j.jhealeco.2015.10.007"},{"key":"S026646662000016X_r16","first-page":"201","volume-title":"Aspects of Labor Market Behaviour: Essays in Honour of John Vanderkamp","author":"Card","year":"1995"},{"key":"S026646662000016X_r30","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00353"},{"key":"S026646662000016X_r21","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00118-0"},{"key":"S026646662000016X_r19","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466611000120"},{"key":"S026646662000016X_r5","doi-asserted-by":"publisher","DOI":"10.3982\/QE1082"},{"key":"S026646662000016X_r15","unstructured":"Bun, M. , Farbmacher, H. & Poldermans, R. (2019) Finite Sample Properties of the Anderson and Rubin (1949) Test. Working Paper."},{"key":"S026646662000016X_r42","doi-asserted-by":"publisher","DOI":"10.2307\/2999621"},{"key":"S026646662000016X_r10","doi-asserted-by":"publisher","DOI":"10.2307\/j.ctvcm4j72"},{"key":"S026646662000016X_r4","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177729752"},{"key":"S026646662000016X_r18","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00632.x"},{"key":"S026646662000016X_r43","doi-asserted-by":"crossref","unstructured":"Windmeijer, F. , Farbmacher, H. , Davies, N. & Davey Smith, G. (2017) On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments. Bristol Economics Discussion Papers, Department of Economics, University of Bristol, UK.","DOI":"10.1080\/01621459.2018.1498346"},{"key":"S026646662000016X_r27","doi-asserted-by":"publisher","DOI":"10.2307\/2971731"},{"key":"S026646662000016X_r28","unstructured":"Jiang, Y. , Kang, H. & Small, D. (2016) ivmodel: Statistical Inference and Sensitivity Analysis for Instrumental Variables Model. Available at https:\/\/CRAN.R-project.org\/package=ivmodel, r package version 1.2."}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646662000016X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,10,19]],"date-time":"2022-10-19T20:05:11Z","timestamp":1666209911000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646662000016X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,3,26]]},"references-count":38,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2021,4]]}},"alternative-id":["S026646662000016X"],"URL":"https:\/\/doi.org\/10.1017\/s026646662000016x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,3,26]]}}}