Arbeitspapier
Combining two consistent estimators
This paper shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited information maximum likelihood (LIML)) were introduced by Hausman et al. (2012), but without derivation. Combining consistent estimators is a theme that is associated with Jerry Hausman and, therefore, we present this derivation in this volume. Additionally, and in order to further understand and interpret HFUL and HLIM in the context of jackknife type variance ratio estimators, we show that a new variant of HLIM, under specific grouped data settings with dummy instruments, simplifies to the Bekker and van der Ploeg (2005) MM (method of moments) estimator.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2013-10
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- Thema
-
endogeneity
instrumental variables
jackknife estimation
many moments
Hausman (1978) test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chao, John
Hausman, Jerry
Newey, Whitney
Swanson, Norman
Woutersen, Tiemen
- Ereignis
-
Veröffentlichung
- (wer)
-
Rutgers University, Department of Economics
- (wo)
-
New Brunswick, NJ
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chao, John
- Hausman, Jerry
- Newey, Whitney
- Swanson, Norman
- Woutersen, Tiemen
- Rutgers University, Department of Economics
Entstanden
- 2012
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