An expository note on the existence of moments of fuller and HFUL estimators

John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, Tiemen M Woutersen

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

In a recent paper, Hausman, Newey, Woutersen, Chao, and Swanson (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?

Original languageEnglish (US)
Title of host publicationAdvances in Econometrics
Pages87-106
Number of pages20
Volume29
DOIs
StatePublished - 2012
Externally publishedYes

Publication series

NameAdvances in Econometrics
Volume29
ISSN (Print)07319053

Fingerprint

Heteroscedasticity
Estimator
Normality
Weak instruments
Endogeneity

Keywords

  • Endogeneity
  • Existence of moments
  • Instrumental variables
  • Jackknife estimation
  • Many moments

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Chao, J. C., Hausman, J. A., Newey, W. K., Swanson, N. R., & Woutersen, T. M. (2012). An expository note on the existence of moments of fuller and HFUL estimators. In Advances in Econometrics (Vol. 29, pp. 87-106). [17072653] (Advances in Econometrics; Vol. 29). https://doi.org/10.1108/S0731-9053(2012)0000029009

An expository note on the existence of moments of fuller and HFUL estimators. / Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; Swanson, Norman R.; Woutersen, Tiemen M.

Advances in Econometrics. Vol. 29 2012. p. 87-106 17072653 (Advances in Econometrics; Vol. 29).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Chao, JC, Hausman, JA, Newey, WK, Swanson, NR & Woutersen, TM 2012, An expository note on the existence of moments of fuller and HFUL estimators. in Advances in Econometrics. vol. 29, 17072653, Advances in Econometrics, vol. 29, pp. 87-106. https://doi.org/10.1108/S0731-9053(2012)0000029009
Chao JC, Hausman JA, Newey WK, Swanson NR, Woutersen TM. An expository note on the existence of moments of fuller and HFUL estimators. In Advances in Econometrics. Vol. 29. 2012. p. 87-106. 17072653. (Advances in Econometrics). https://doi.org/10.1108/S0731-9053(2012)0000029009
Chao, John C. ; Hausman, Jerry A. ; Newey, Whitney K. ; Swanson, Norman R. ; Woutersen, Tiemen M. / An expository note on the existence of moments of fuller and HFUL estimators. Advances in Econometrics. Vol. 29 2012. pp. 87-106 (Advances in Econometrics).
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