HFUL_HLIM: Stata module for heteroskedasticity-robust version of the Fuller estimator and jackknife version of the limited-information maximum likelihood estimator

Xiduo Chen, Tiemen Wouterson (), Pierangelo De Pace and John Chao ()
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Tiemen Wouterson: University of Arizona

Statistical Software Components from Boston College Department of Economics

Abstract: hful provides the heteroskedasticity-robust version of the Fuller estimator. hlim provides a jackknife version of the limited-information maximum likelihood estimator. Both are based on Hausman et al., Instrumental variable estimation with heteroskedasticity and many instruments, Quantitative Economics, 2012.

Language: Stata
Requires: Stata version 14
Keywords: robust; Fuller; LIML (search for similar items in EconPapers)
Date: 2022-01-18
Note: This module should be installed from within Stata by typing "ssc install hful_hlim". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hful.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hful.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hlim.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hlim.sthlp help file (text/plain)

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