Jackknife Instrumental Variable Inference
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2026
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866908971247337472 |
|---|---|
| author | Crudu, Federico Mellace, Giovanni Sándor, Zsolt |
| author_facet | Crudu, Federico Mellace, Giovanni Sándor, Zsolt |
| contents | This paper introduces a class of jackknife-based test statistics for linear regression models with endogeneity and heteroskedasticity in the presence of many potentially weak instrumental variables. The tests may be used when considering hypotheses on the full parameter vector or hypotheses defined as linear restrictions. We show that in the limit and under the null the proposed statistics are distributed as a combination of chi squares but by modifying the objective function we derive more familiar chi square limits. An extensive simulation study shows the competitive finite sample properties of the proposed tests in particular against Anderson-Rubin-type of statistics. Finally, we provide an empirical illustration that applies the proposed tests to study the effect of alcohol consumption on body mass index using genetic variants as instrumental variables using the UK Biobank. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_15437 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Jackknife Instrumental Variable Inference Crudu, Federico Mellace, Giovanni Sándor, Zsolt Econometrics This paper introduces a class of jackknife-based test statistics for linear regression models with endogeneity and heteroskedasticity in the presence of many potentially weak instrumental variables. The tests may be used when considering hypotheses on the full parameter vector or hypotheses defined as linear restrictions. We show that in the limit and under the null the proposed statistics are distributed as a combination of chi squares but by modifying the objective function we derive more familiar chi square limits. An extensive simulation study shows the competitive finite sample properties of the proposed tests in particular against Anderson-Rubin-type of statistics. Finally, we provide an empirical illustration that applies the proposed tests to study the effect of alcohol consumption on body mass index using genetic variants as instrumental variables using the UK Biobank. |
| title | Jackknife Instrumental Variable Inference |
| topic | Econometrics |
| url | https://arxiv.org/abs/2604.15437 |