*! version 1.0 Aug29.2019

Title

hlim -- Jackknife version of the limited-information maximum likelihood estimator

Syntax

hlim depvar [varlist1]
(varlist2 =
varlist_iv) [if] [in]
[, options]

varlist1 is the list of exogenous variables.

varlist2 is the list of endogenous variables.

varlist_iv is the list of exogenous variables used with varlist1
as instruments for varlist2.

noconstant suppress constant term

modelbased produce model-based bootstrap results

wild produce model-based wild bootstrap results

boots(#) specify the number of bootstrap replications, the defualt setting is 10,000

Description

hlim gives heteroskedasticity robust version of the limited-information maximum likelihood estimator.

Options

Main

noconstant; see
[R] estimation options.

modelbased conducts model-based method for bootstrap process (simulated values are generated from the fitted model, then treated like the original data).

wild conducts model-based wild method for bootstrap process.

boots(#) specifies the nuber of bootstrap replications. The deault is boots(10000), meaning that bootstrap program repeats 10000 times.

Examples

. hlim v1 v2 (v3 v4 v5 = v6 v7 v8 v9)

. hlim v1 v2 (v3 v4 v5 = v6 v7 v8 v9), modelbased

. hlim v1 v2 (v3 v4 v5 = v6 v7 v8 v9), wild boots(1000)

. hlim v1 v2 (v3 v4 v5 = v6 v7 v8 v9) if v1>0, wild

References

Hausman J A, Newey W K, Woutersen T, et al. Instrumental variable estimation with heteroskedasticity and many instruments. Quantitative Economics, 2012, 3(2): 211-255.