Combining Two Consistent Estimators
This paper 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 et al. (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.
|Date of creation:||16 Jul 2013|
|Date of revision:|
|Publication status:||Published in: Essays in Honor of Jerry Hausman: Advances in Econometrics, volume 29, Emerald, New York, 33-53.|
|Contact details of provider:|| Postal: |
Phone: (732) 932-7363
Fax: (732) 932-7416
Web page: http://snde.rutgers.edu/Rutgers/wp/rutgers-wplist.html
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald, Stephen G & Newey, Whitney K, 2001.
"Choosing the Number of Instruments,"
Econometric Society, vol. 69(5), pages 1161-91, September.
- Phillips, Garry D A & Hale, C, 1977. "The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(1), pages 219-28, February.
- Blomquist, Soren & Dahlberg, Matz, 1999. "Small Sample Properties of LIML and Jackknife IV Estimators: Experiments with Weak Instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 69-88, Jan.-Feb..
- Chao, John C. & Swanson, Norman R. & Hausman, Jerry A. & Newey, Whitney K. & Woutersen, Tiemen, 2012.
"Asymptotic Distribution Of Jive In A Heteroskedastic Iv Regression With Many Instruments,"
Cambridge University Press, vol. 28(01), pages 42-86, February.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011. "Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments," Departmental Working Papers 201110, Rutgers University, Department of Economics.
- Chao & Swanson & Hausman & Newey & Woutersen, 2010. "Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments," Economics Working Paper Archive 567, The Johns Hopkins University,Department of Economics.
- Jinyong Hahn & Jerry Hausman & Guido Kuersteiner, 2004. "Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 272-306, 06.
- Daniel A. Ackerberg & Paul J. Devereux, 2008.
"Improved Jive Estimators for Overidentified Linear Models with and without Heteroskedasticity,"
200817, School of Economics, University College Dublin.
- Daniel A. Ackerberg & Paul J. Devereux, 2009. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 91(2), pages 351-362, May.
- Ackerberg, Daniel & Devereux, Paul J., 2008. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," CEPR Discussion Papers 6926, C.E.P.R. Discussion Papers.
- Paul A. Bekker & Jan Ploeg, 2005. "Instrumental variable estimation based on grouped data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(3), pages 239-267.
- Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May.
- Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995.
"Jackknife Instrumental Variables Estimation,"
NBER Technical Working Papers
0172, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:rut:rutres:201310. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.