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...

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...

This paper presents a new estimator for counterfactuals in duration models. The counterfactual in a duration model is the length of the spell in case the regressor would have been different. We introduce the structural duration function, which gives these counterfactuals. The advantage of...

In this paper, we analyze properties of the Continuous Updating Estimator (CUE) proposed by Hansen et al. (1996), which has been suggested as a solution to the finite sample bias problems of the two-step GMM estimator. We show that the estimator should be expected to perform poorly in finite...

This paper develops linear estimators for structural and causal parameters in nonparametric,nonseparable models using panel data. These models incorporate unobserved, time-varying, individual heterogeneity, which may be correlated with the regressors. Estimation is based on an approximation of...