FEJIV: Stata module to perform fixed effect jackknife IV (FEJIV) estimation

Qihui Lei () and Tymon Słoczyński
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Qihui Lei: University of Wisconsin

Statistical Software Components from Boston College Department of Economics

Abstract: fejiv implements the fixed effect jackknife IV (FEJIV) estimator of Chao, Swanson, and Woutersen (2023), which enables consistent IV estimation with many (possibly weak) instruments, cluster fixed effects, heteroskedastic errors, and possibly many exogenous explanatory variables. Słoczyński (2024) recommends the FEJIV estimator as an alternative to two-stage least squares (2SLS) when estimating the fully interacted specification of Angrist and Imbens (1995). Within the local average treatment effect (LATE) framework, when strong monotonicity is doubtful but weak monotonicity is plausible, the fully interacted specification eliminates the problem of "negative weights."

Language: Stata
Requires: Stata version 17
Keywords: fixed effects; instrumental variables; interacted instruments; jackknife; local average treatment effects; many weak instruments; monotonicity; negative weights; treatment effects (search for similar items in EconPapers)
Date: 2025-10-07
Note: This module should be installed from within Stata by typing "ssc install kappalate". 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.
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http://fmwww.bc.edu/repec/bocode/f/fejiv.sthlp help file (text/plain)

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