Combining two consistent 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

3 Citations (Scopus)

Abstract

This chapter 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, Newey, Woutersen, Chao, and Swanson (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.

Original languageEnglish (US)
Title of host publicationAdvances in Econometrics
Pages33-53
Number of pages21
Volume29
DOIs
StatePublished - 2012
Externally publishedYes

Publication series

NameAdvances in Econometrics
Volume29
ISSN (Print)07319053

Fingerprint

Estimator
Heteroscedasticity
Jackknife
Maximum likelihood
Method of moments
Heteroskedasticity
Limited information
Grouped data
Variance ratio

Keywords

  • Endogeneity
  • Hausman (1978) test
  • 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). Combining two consistent estimators. In Advances in Econometrics (Vol. 29, pp. 33-53). [17072651] (Advances in Econometrics; Vol. 29). https://doi.org/10.1108/S0731-9053(2012)0000029007

Combining two consistent estimators. / Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; Swanson, Norman R.; Woutersen, Tiemen M.

Advances in Econometrics. Vol. 29 2012. p. 33-53 17072651 (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, Combining two consistent estimators. in Advances in Econometrics. vol. 29, 17072651, Advances in Econometrics, vol. 29, pp. 33-53. https://doi.org/10.1108/S0731-9053(2012)0000029007
Chao JC, Hausman JA, Newey WK, Swanson NR, Woutersen TM. Combining two consistent estimators. In Advances in Econometrics. Vol. 29. 2012. p. 33-53. 17072651. (Advances in Econometrics). https://doi.org/10.1108/S0731-9053(2012)0000029007
Chao, John C. ; Hausman, Jerry A. ; Newey, Whitney K. ; Swanson, Norman R. ; Woutersen, Tiemen M. / Combining two consistent estimators. Advances in Econometrics. Vol. 29 2012. pp. 33-53 (Advances in Econometrics).
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