Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/94226
Autoren: 
Chao, John
Hausman, Jerry
Newey, Whitney
Swanson, Norman
Woutersen, Tiemen
Datum: 
2012
Reihe/Nr.: 
Working Paper 2013-10
Zusammenfassung: 
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.
Schlagwörter: 
endogeneity
instrumental variables
jackknife estimation
many moments
Hausman (1978) test
JEL: 
C13
C31
Dokumentart: 
Working Paper
Nennungen in sozialen Medien:

7



Datei(en):
Datei
Größe
211.05 kB





Publikationen in EconStor sind urheberrechtlich geschützt.