Combining two consistent estimators

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

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

3 Scopus citations

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 publicationEssays in Honor of Jerry Hausman
EditorsBadi Baltagi, Carter Hill, Whitney Newey, Halbert White
Pages33-53
Number of pages21
DOIs
StatePublished - Dec 1 2012
Externally publishedYes

Publication series

NameAdvances in Econometrics
Volume29
ISSN (Print)0731-9053

Keywords

  • Endogeneity
  • Hausman (1978) test
  • Instrumental variables
  • Jackknife estimation
  • Many moments

ASJC Scopus subject areas

  • Economics and Econometrics

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  • Cite this

    Chao, J. C., Hausman, J. A., Newey, W. K., Swanson, N. R., & Woutersen, T. (2012). Combining two consistent estimators. In B. Baltagi, C. Hill, W. Newey, & H. White (Eds.), Essays in Honor of Jerry Hausman (pp. 33-53). [17072651] (Advances in Econometrics; Vol. 29). https://doi.org/10.1108/S0731-9053(2012)0000029007