The Case Against Jive

James MacKinnon and Russell Davidson

No 1031, Working Paper from Economics Department, Queen's University

Abstract: We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the "Jackknife Instrumental VariablesEstimator," 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)
Pages: 30 pages
Date: 2004-09
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1031.pdf First version 2004 (application/pdf)

Related works:
Journal Article: The case against JIVE (2006)
Working Paper: THE CASE AGAINST JIVE (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1031

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