Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189315 
Year of Publication: 
2004
Series/Report no.: 
Queen's Economics Department Working Paper No. 1031
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the "Jackknife Instrumental Variables Estimator," 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.
Subjects: 
two-stage least squares
LIML
JIVE
instrumental variables
weak instruments
JEL: 
C12
C15
C30
Document Type: 
Working Paper

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