Combining Two Consistent Estimators
John Chao (),
Norman Swanson () and
Tiemen Woutersen ()
Additional contact information
Tiemen Woutersen: University of Arizona
Departmental Working Papers from Rutgers University, Department of Economics
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)
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published in: Essays in Honor of Jerry Hausman: Advances in Econometrics, volume 29, Emerald, New York, 33-53.
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:201310
Access Statistics for this paper
More papers in Departmental Working Papers from Rutgers University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().