CJIVE: Stata module to perform Cluster Jackknife Instrumental Variables Estimation (CJIVE)

Brigham Frandsen (), Emily Leslie () and Samuel McIntyre ()
Additional contact information
Brigham Frandsen: Brigham Young University
Emily Leslie: Brigham Young University
Samuel McIntyre: Brigham Young University

Statistical Software Components from Boston College Department of Economics

Abstract: CJIVE estimates coefficients on potentially endogenous regressors via leave-one-cluster-out jackknife instrumental variables. This estimator is appropriate when there are many instruments and inference must be clustered because of, for example, a clustered structure of the error term covariance. Two-stage least squares and well-known alternatives such as LIML and jackknife instrumental variables estimation (JIVE) are biased and inconsistent in such settings. CJIVE eliminates that bias.

Language: Stata
Requires: Stata version 18
Keywords: instrumental variables; IV; cluster; jackknife (search for similar items in EconPapers)
Date: 2025-05-10
Note: This module should be installed from within Stata by typing "ssc install cjive". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/cjive.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cjive.sthlp help file (text/plain)

Related works:
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: https://EconPapers.repec.org/RePEc:boc:bocode:s459455

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().