IDEAS home Printed from https://ideas.repec.org/h/eme/aecozz/s0731-9053(2012)0000029009.html

An Expository Note on the Existence of Moments of Fuller and HFUL Estimators

In: Essays in Honor of Jerry Hausman

Author

Listed:
  • John C. Chao
  • Jerry A. Hausman
  • Whitney K. Newey
  • Norman R. Swanson
  • Tiemen Woutersen

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?

Suggested Citation

  • John C. Chao & Jerry A. Hausman & Whitney K. Newey & Norman R. Swanson & Tiemen Woutersen, 2012. "An Expository Note on the Existence of Moments of Fuller and HFUL Estimators," Advances in Econometrics, in: Essays in Honor of Jerry Hausman, pages 87-106, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-9053(2012)0000029009
    DOI: 10.1108/S0731-9053(2012)0000029009
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2012)0000029009/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2012)0000029009/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/S0731-9053(2012)0000029009/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S0731-9053(2012)0000029009
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/S0731-9053(2012)0000029009?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. is not listed on IDEAS
    2. Stuart Lane, 2025. "The moment is here: a generalised class of estimators for fuzzy regression discontinuity designs," Papers 2511.03424, arXiv.org.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:aecozz:s0731-9053(2012)0000029009. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.