Combining Two Consistent Estimators

Combining Two Consistent Estimators

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...

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Bibliographic Details
Main Authors: Chao, John C. (Author), Hausman, Jerry A. (Contributor), Newey, Whitney K. (Contributor), Swanson, Norman R. (Author), Woutersen, Tiemen (Author)
Other Authors: Massachusetts Institute of Technology. Department of Economics (Contributor)
Format: Article
Language:English
Published: Emerald (MCB UP), 2013-12-06T14:07:57Z.
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