TY - GEN
T1 - An expository note on the existence of moments of fuller and HFUL estimators
AU - Chao, John C.
AU - Hausman, Jerry A.
AU - Newey, Whitney K.
AU - Swanson, Norman R.
AU - Woutersen, Tiemen
PY - 2012
Y1 - 2012
N2 - 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?
AB - 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?
KW - Endogeneity
KW - Existence of moments
KW - Instrumental variables
KW - Jackknife estimation
KW - Many moments
UR - http://www.scopus.com/inward/record.url?scp=84885012299&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84885012299&partnerID=8YFLogxK
U2 - 10.1108/S0731-9053(2012)0000029009
DO - 10.1108/S0731-9053(2012)0000029009
M3 - Conference contribution
AN - SCOPUS:84885012299
SN - 9781781903070
T3 - Advances in Econometrics
SP - 87
EP - 106
BT - Essays in Honor of Jerry Hausman
A2 - Baltagi, Badi
A2 - Hill, Carter
A2 - Newey, Whitney
A2 - White, Halbert
ER -