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A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates *

A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates *

This paper proposes an overidentifying restriction test for high-dimensional linear instrumental variable models. The novelty of the proposed test is that it allows the number of covariates and instruments to be larger than the sample size. The test is scale-invariant and robust to heteroskedastic errors. To construct the final test …