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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2013-10
- Classification
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- Subject
-
endogeneity
instrumental variables
jackknife estimation
many moments
Hausman (1978) test
- Event
-
Geistige Schöpfung
- (who)
-
Chao, John
Hausman, Jerry
Newey, Whitney
Swanson, Norman
Woutersen, Tiemen
- Event
-
Veröffentlichung
- (who)
-
Rutgers University, Department of Economics
- (where)
-
New Brunswick, NJ
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chao, John
- Hausman, Jerry
- Newey, Whitney
- Swanson, Norman
- Woutersen, Tiemen
- Rutgers University, Department of Economics
Time of origin
- 2012
Other Objects (12)
Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
Asymptotics and Consistent Bootstraps for DEA Estimators in Non-parametric Frontier Models
A practical asymptotic variance estimator for two-step semiparametric estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
A consistent two-factor model for pricing temperature derivatives
Theoretical properties of two estimators in partially linear single-index measurement error models
A finite sample correction for the variance of linear two-step GMM estimators
Consistent pricing and hedging volatility derivatives with two volatility surfaces
Tail Probabilities for Regression Estimators
Averaging of moment condition estimators
Panel data estimators and aggregation
Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
Asymptotics and Consistent Bootstraps for DEA Estimators in Non-parametric Frontier Models
A practical asymptotic variance estimator for two-step semiparametric estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
A consistent two-factor model for pricing temperature derivatives
Theoretical properties of two estimators in partially linear single-index measurement error models
A finite sample correction for the variance of linear two-step GMM estimators
Consistent pricing and hedging volatility derivatives with two volatility surfaces
Tail Probabilities for Regression Estimators
Averaging of moment condition estimators
Panel data estimators and aggregation
Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
Asymptotics and Consistent Bootstraps for DEA Estimators in Non-parametric Frontier Models
A practical asymptotic variance estimator for two-step semiparametric estimators
Bias corrections for two-step fixed effects panel data estimators
Bias corrections for two-step fixed effects panel data estimators
A consistent two-factor model for pricing temperature derivatives
Theoretical properties of two estimators in partially linear single-index measurement error models
A finite sample correction for the variance of linear two-step GMM estimators
Consistent pricing and hedging volatility derivatives with two volatility surfaces
Tail Probabilities for Regression Estimators
Averaging of moment condition estimators