Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/94226
Authors: 
Chao, John
Hausman, Jerry
Newey, Whitney
Swanson, Norman
Woutersen, Tiemen
Year of Publication: 
2012
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2013-10
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.
Subjects: 
endogeneity
instrumental variables
jackknife estimation
many moments
Hausman (1978) test
JEL: 
C13
C31
Document Type: 
Working Paper

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