*! version 2.0 Nov10.2021

Title

hful -- Heteroskedasticity robust version of the Fuller estimator

Syntax

hful 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

casesampling produce regular bootstrap results (also called nonparametric bootstrap results)

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

hful gives heteroskedasticity robust version of the Fuller estimator. It has moments and has mucher lower dispersion than HLIM with many weak instruments.

Options

Main

noconstant; see
[R] estimation options.

casesampling conducts the regular nonparametric method for bootstrap process.

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

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

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

. hful v1 v2 (v3 v4 v5 = v6 v7 v8 v9), casesampling

. hful v1 v2 (v3 v4 v5 = v6 v7 v8 v9), wild

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

. hful 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.