Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Jul, 2012, Volume 3, Issue 2
Jerry A. Hausman, Whitney K. Newey, Tiemen Woutersen, John C. Chao, Norman R. Swanson
This paper gives a relatively simple, well behaved solution to the problem of many
instruments in heteroskedastic data. Such settings are common in microeconometric
applications where many instruments are used to improve efficiency and
allowance for heteroskedasticity is generally important. The solution is a Fuller
(1977) like estimator and standard errors that are robust to heteroskedasticity
and many instruments. We show that the estimator has finite moments and high
asymptotic efficiency in a range of cases. The standard errors are easy to compute,
being like White’s (1982), with additional terms that account for many instruments.
They are consistent under standard, many instrument, and many weak instrument
asymptotics. We find that the estimator is asymptotically as efficient as
the limited-information maximum likelihood (LIML) estimator under many weak
instruments. In Monte Carlo experiments, we find that the estimator performs as
well as LIML or Fuller (1977) under homoskedasticity, and has much lower bias
and dispersion under heteroskedasticity, in nearly all cases considered.
Keywords. Instrumental variables, heteroskedasticity, many instruments, jackknife.
JEL classification. C12, C13, C23.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.