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Estimating a semi-parametric duration model without specifying heterogeneity

Hausman, Jerry A. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003161247

Estimating a semi-parametric duration model without specifying heterogeneity

Hausman, Jerry A. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003219719

Increasing the power of specification tests

Woutersen, Tiemen; Hausman, Jerry A. - In: Journal of econometrics 211 (2019) 1, pp. 166-175

Persistent link: https://www.econbiz.de/10012303611

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

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Essays in honor of Jerry Hausman, (pp. 87-106). 2012

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...

Persistent link: https://www.econbiz.de/10015378528

Combining Two Consistent Estimators

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Essays in honor of Jerry Hausman, (pp. 33-53). 2012

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...

Persistent link: https://www.econbiz.de/10015378530

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - In: Econometric theory 28 (2012) 1, pp. 42-86

Persistent link: https://www.econbiz.de/10009520974

An expository note on the existence of moments of Fuller and HFUL estimators

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013

In a recent paper, Hausman et al. (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...

Persistent link: https://www.econbiz.de/10009766695

Combining two consistent estimators

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013 - revised August 2012

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...

Persistent link: https://www.econbiz.de/10009766699

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Journal of econometrics 178 (2014) 1, pp. 15-21

Persistent link: https://www.econbiz.de/10010254992

Estimating a semi-parametric duration model without specifying heterogeneity

Hausman, Jerry A.; Woutersen, Tiemen - In: Journal of econometrics 178 (2014) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10010255456