Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/94237
Authors: 
Chao, John
Hausman, Jerry
Newey, Whitney
Swanson, Norman
Woutersen, Tiemen
Year of Publication: 
2013
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2013-11
Abstract: 
In a recent paper, Hausman et al. (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments asymptotics. Moreover, this estimator has moments, just like the estimator by Fuller (1977). The purpose of this note is to discuss at greater length the existence of moments result given in Hausman et al. (2012). In particular, we intend to answer the following questions: Why does LIML not have moments? Why does the Fuller modification lead to estimators with moments? Is normality required for the Fuller estimator to have moments? Why do we need a condition such as Hausman et al. (2012), Assumption 9? Why do we have the adjustment formula?
Subjects: 
endogeneity
instrumental variables
jackknife estimation
many moments
existence of moments
JEL: 
C13
C31
Document Type: 
Working Paper

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