Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/71387 
Year of Publication: 
2008
Series/Report no.: 
UCD Centre for Economic Research Working Paper Series No. WP08/17
Publisher: 
University College Dublin, UCD School of Economics, Dublin
Abstract: 
We introduce two simple new variants of the Jackknife Instrumental Variables (JIVE) estimator for overidentified linear models and show that they are superior to the existing JIVE estimator, significantly improving on its small sample bias properties. We also compare our new estimators to existing Nagar (1959) type estimators. We show that, in models with heteroskedasticity, our estimators have superior properties to both the Nagar estimator and the related B2SLS estimator suggested in Donald and Newey (2001). These theoretical results are verified in a set of Monte-Carlo experiments and then applied to estimating the returns to schooling using actual data.
JEL: 
C31
J24
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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