This paper derives the limiting distributions of alternative jackknife instrumental variables (JIV) estimators and gives formulas for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994, Econometrica 62, 657–681) and the many weak instrument sequence of Chao and Swanson (2005, Econometrica 73, 1673–1691).
Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many InstrumentsJ.C. Chao, N.R.Swanson, J.A.Hausman, W.K. Newey, and T.Woutersen ,
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