The Case Against JIVE

Russell Davidson and James MacKinnon ()

No 1031, Working Papers from Queen's University, Department of Economics

Abstract: We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the "Jackknife 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.

Keywords: two-stage least squares; LIML; JIVE; instrumental variables; weak instruments (search for similar items in EconPapers)
JEL-codes: C12 C15 C30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-09
View list of references View citations in EconPapers

Published in Journal of Applied Econometrics, 21, 2006

Downloads: (external link)
http://www.econ.queensu.ca/working_papers/papers/qed_wp_1031.pdf First version 2004 (application/pdf)

Related works:
Working Paper: THE CASE AGAINST JIVE (2006)
Journal Article: The case against JIVE (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:1031

Access Statistics for this paper

More papers in Working Papers from Queen's University, Department of Economics
Contact information at EDIRC.
Series data maintained by Mark Babcock ().