Combining Two Consistent Estimators

John Chao (), Jerry Hausman, Whitney Newey, Norman Swanson () and Tiemen Woutersen

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: 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.

Keywords: endogeneity; instrumental variables; jackknife estimation; many moments; Hausman (1978) test (search for similar items in EconPapers)
JEL-codes: C13 C31 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2013-07-16
New Economics Papers: this item is included in nep-ecm
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Published in: Essays in Honor of Jerry Hausman: Advances in Econometrics, volume 29, Emerald, New York, 33-53.

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http://www.sas.rutgers.edu/virtual/snde/wp/2013-10.pdf (application/pdf)

Related works:
Chapter: Combining Two Consistent Estimators (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:201310

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