Jackknife Instrumental Variable Inference
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Series
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SpeakersFederico Crudu (University of Siena, Italy)
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FieldEconometrics, Data Science and Econometrics
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LocationTinbergen Institute Amsterdam, Roeterseiland campus, E5.07
Amsterdam -
Date and time
May 08, 2026
12:30 - 13:30
Abstract
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 more familiar chi square limits are derived. 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 application that applies the proposed tests to study the effect of alcohol consumption on body mass index using genetic variants as instrumental variables.