Asymptotic Distribution of JIVE in a Heteroskedastic IV Regres-
sion with Many Instruments
John C. Chao, Department of Economics, University of Maryland, firstname.lastname@example.org.
Norman R. Swanson, Department of Economics, Rutgers University, email@example.com.
Jerry A. Hausman, Department of Economics, MIT, firstname.lastname@example.org.
Whitney K. Newey, Department of Economics, MIT, email@example.com.
Tiemen Woutersen, Department of Economics, Johns Hopkins University, firstname.lastname@example.org.
Revised August, 2009
: heteroskedasticity, instrumental variables, jackknife estimation, many instruments, weak
Earlier versions of this paper were presented at the NSF/NBER conference on weak and/or many
instruments at MIT in 2003, and at the 2004 winter meetings of the Econometric Society in San
Diego, where conference participants provided many useful comments and suggestions. Particular
thanks are owed to D. Ackerberg, D. Andrews, J. Angrist, M. Caner, M. Carrasco, P. Guggenberger,
J. Hahn, G. Imbens, R. Klein, M.Moriera, G.D.A. Phillips, P.C.B. Phillips, and J. Stock for helpful