SJIVE: Stata module providing Shrunken Jackknife instrumental variables estimator (SJIVE)

Brigham Frandsen ()
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Brigham Frandsen: Brigham Young University

Statistical Software Components from Boston College Department of Economics

Abstract: sjive implements the Shrunken Jackknife Instrumental Variables Estimator (SJIVE) developed by Frandsen, Lefgren, Leslie, and McIntyre (2025). Two-stage least squares is well-known to be biased and inconsistent when there are many instruments. JIVE eliminates many-instruments bias, but is often excessively noisy. SJIVE employs empirical Bayes-style shrinkage to the JIVE fitted values, improving the precision of the IV estimator. SJIVE improves upon standard JIVE estimation by applying empirical Bayes shrinkage to first-stage fitted values, consequently improving the second-stage precision of treatment effect estimates. This is particularly beneficial in many-instrument designs like judge fixed effects.

Language: Stata
Requires: Stata version 17
Keywords: regression; instrumental variables; jackknife; shrinkage (search for similar items in EconPapers)
Date: 2025-12-23
Note: This module should be installed from within Stata by typing "ssc install sjive". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/s/sjive.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sjive.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sjiveexample.dta sample data file (application/x-stata)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459556

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