THE CASE AGAINST JIVE

Russell Davidson and James MacKinnon ()

Departmental Working Papers from McGill University, Department of Economics

Abstract: We perform an extensive series of Monte Carlo experiments to compare the performance of the "Jacknife Instrumental Variables Estimator", or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest that JIVE should ever be used. It is always more dispersed than 2SLS, often very much so, and it is almost always inferior to LIML in all respects. Interestingly, JIVE seems to perform particularly badly when the instruments are weak.

JEL-codes: C10 C15 C20 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2006-09
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Related works:
Working Paper: The Case Against JIVE (2004)
Journal Article: The case against JIVE (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:mcl:mclwop:2004-02

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