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.
Combining Two Consistent EstimatorsJ.C. Chao, J.A. Hausman, W.K. Newey, N.R. Swanson, and T. Woutersen , ( 29 )
Essays in Honor of Jerry Hausman: Advances in Econometrics, ed. by Badi H. Baltagi, R. Carter Hill, Whitney K. Newey, Halbert L. White