EconPapers    
Economics at your fingertips  
 

Jackknife Instrumental Variables Estimation

Joshua Angrist (), Guido Imbens () and Alan Krueger

Journal of Applied Econometrics, 1999, vol. 14, issue 1, 57-67

Abstract: Two-stage-least-squares (2SLS) estimates are biased towards the probability limit of OLS estimates. This bias grows with the degree of over-identification and can generate highly misleading results. In this paper we propose two simple alternatives to 2SLS and limited-information-maximum-likelihood (LIML) estimators for models with more instruments than endogenous regressors. These estimators can be interpreted as instrumental variables procedures using an instrument that is independent of disturbances even in finite samples. Independence is achieved by using a 'leave-one-out' jackknife-type fitted value in place of the usual first stage equation. The new estimators are first order equivalent to 2SLS but with finite-sample properties superior, in terms of bias and coverage rate of confidence intervals, compared to those of 2SLS and similar to those of LIML, when there are many instruments.

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (104) Track citations by RSS feed

Downloads: (external link)
http://qed.econ.queensu.ca:80/jae/1999-v14.1/ Supporting data files and programs (text/html)

Related works:
Working Paper: Jackknife Instrumental Variables Estimation (1995) Downloads
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:jae:japmet:v:14:y:1999:i:1:p:57-67

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2020-01-21
Handle: RePEc:jae:japmet:v:14:y:1999:i:1:p:57-67