Combining Two Consistent Estimators
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Housman_Combining two.pdf
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Author(s)
Chao, John C.
Hausman, Jerry A.
Newey, Whitney K.
Swanson, Norman R.
Woutersen, Tiemen
Date Issued
2012
Journal
Essays in Honor of Jerry Hausman (Advances in Econometrics)
Publisher
Emerald (MCB UP)
Citation
Chao, John C., Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, and Tiemen Woutersen. Combining Two Consistent Estimators. Emerald (MCB UP), 2012.
Version
Author's final manuscript
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.
MIT Department
Massachusetts Institute of Technology. Department of Economics
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Creative Commons Attribution-Noncommercial-Share Alike 3.0
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DOI of Published Version
https://doi.org/10.1108/S0731-9053(2012)0000029007
