{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,4]],"date-time":"2026-08-04T01:47:31Z","timestamp":1785808051966,"version":"3.56.0"},"reference-count":34,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2022,11,11]],"date-time":"2022-11-11T00:00:00Z","timestamp":1668124800000},"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":[[2024,4]]},"abstract":"<jats:p>This paper proposes a jackknife Lagrange multiplier (JLM) test for instrumental variable regression models, which is robust to (i) many instruments, where the number of instruments may increase proportionally with the sample size, (ii) arbitrarily weak instruments, and (iii) heteroskedastic errors. In contrast to Crudu, Mellace, and S\u00e1ndor (2021, <jats:italic>Econometric Theory<\/jats:italic> 37, 281\u2013310) and Mikusheva and Sun (2021, <jats:italic>Review of Economic Studies<\/jats:italic> 89, 2663\u20132686), who proposed jackknife Anderson\u2013Rubin tests that are also robust to (i)\u2013(iii), we modify a score statistic by jackknifing and construct its heteroskedasticity robust variance estimator. Compared to the Lagrange multiplier tests by Kleibergen (2002, <jats:italic>Econometrica<\/jats:italic> 70, 1781\u20131803) and Moreira (2001, <jats:italic>Tests with Correct Size when Instruments Can Be Arbitrarily Weak<\/jats:italic>, Working paper) and their modification for many instruments by Hansen, Hausman, and Newey (2008, <jats:italic>Journal of Business &amp; Economic Statistics<\/jats:italic> 26, 398\u2013422), our JLM test is robust to heteroskedastic errors and may circumvent a possible decrease in the power function. Simulation results illustrate the desirable size and power properties of the proposed method.<\/jats:p>","DOI":"10.1017\/s0266466622000433","type":"journal-article","created":{"date-parts":[[2022,11,11]],"date-time":"2022-11-11T09:43:41Z","timestamp":1668159821000},"page":"447-470","source":"Crossref","is-referenced-by-count":12,"title":["A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS"],"prefix":"10.1017","volume":"40","author":[{"given":"Yukitoshi","family":"Matsushita","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Taisuke","family":"Otsu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2022,11,11]]},"reference":[{"key":"S0266466622000433_r19","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00652.x"},{"key":"S0266466622000433_r31","doi-asserted-by":"publisher","DOI":"10.2307\/1912160"},{"key":"S0266466622000433_r13","doi-asserted-by":"crossref","first-page":"42","DOI":"10.1017\/S0266466611000120","article-title":"Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments","volume":"28","author":"Chao","year":"2012","journal-title":"Econometric Theory"},{"key":"S0266466622000433_r4","first-page":"122","volume-title":"Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress","volume":"3","author":"Andrews","year":"2007a"},{"key":"S0266466622000433_r32","doi-asserted-by":"crossref","first-page":"687","DOI":"10.3982\/ECTA6224","article-title":"GMM with many weak moment conditions","volume":"77","author":"Newey","year":"2009","journal-title":"Econometrica"},{"key":"S0266466622000433_r12","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00632.x"},{"key":"S0266466622000433_r3","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00680.x"},{"key":"S0266466622000433_r9","volume-title":"Probability and Measure","author":"Billingsley","year":"1986"},{"key":"S0266466622000433_r22","doi-asserted-by":"publisher","DOI":"10.3982\/QE89"},{"key":"S0266466622000433_r18","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2004.00131.x"},{"key":"S0266466622000433_r6","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199901\/02)14:1<57::AID-JAE501>3.0.CO;2-G"},{"key":"S0266466622000433_r10","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199901\/02)14:1<69::AID-JAE521>3.0.CO;2-7"},{"key":"S0266466622000433_r8","doi-asserted-by":"publisher","DOI":"10.2307\/2951662"},{"key":"S0266466622000433_r23","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00353"},{"key":"S0266466622000433_r30","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00438"},{"key":"S0266466622000433_r2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.04.027"},{"key":"S0266466622000433_r25","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA16410"},{"key":"S0266466622000433_r34","doi-asserted-by":"publisher","DOI":"10.2307\/2999621"},{"key":"S0266466622000433_r24","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00610.x"},{"key":"S0266466622000433_r1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.91.2.351"},{"key":"S0266466622000433_r17","doi-asserted-by":"publisher","DOI":"10.2307\/1912683"},{"key":"S0266466622000433_r27","doi-asserted-by":"publisher","DOI":"10.1093\/restud\/rdab097"},{"key":"S0266466622000433_r14","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1017\/S026646662000016X","article-title":"Inference in instrumental variable models with heteroskedasticity and many instruments","volume":"37","author":"Crudu","year":"2021","journal-title":"Econometric Theory"},{"key":"S0266466622000433_r33","doi-asserted-by":"publisher","DOI":"10.2307\/2525779"},{"key":"S0266466622000433_r5","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.012"},{"key":"S0266466622000433_r20","doi-asserted-by":"publisher","DOI":"10.1198\/073500108000000024"},{"key":"S0266466622000433_r7","doi-asserted-by":"crossref","first-page":"979","DOI":"10.2307\/2937954","article-title":"Does compulsory school attendance affect schooling and earnings?","volume":"106","author":"Angrist","year":"1991","journal-title":"The Quarterly Journal of Economics"},{"key":"S0266466622000433_r21","doi-asserted-by":"crossref","first-page":"290","DOI":"10.1016\/j.jeconom.2014.04.022","article-title":"Instrumental variables estimation with many weak instruments using regularized JIVE","volume":"182","author":"Hansen","year":"2014","journal-title":"Journal of Econometrics"},{"key":"S0266466622000433_r28","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.04.038"},{"key":"S0266466622000433_r29","unstructured":"Moreira, M. 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