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Small Sample Properties of LIML and Jackknife IV Estimators: Experiments with Weak Instruments

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Blomquist, Soren
Dahlberg, Matz

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File URL: http://qed.econ.queensu.ca:80/jae/1999-v14.1/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 14 (1999)
Issue (Month): 1 (Jan.-Feb.)
Pages: 69-88
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Handle: RePEc:jae:japmet:v:14:y:1999:i:1:p:69-88

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Mariano, Roberto S, 1982. "Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 503-33, October. [Downloadable!] (restricted)
  2. Angrist, Joshua D & Krueger, Alan B, 1991. "Does Compulsory School Attendance Affect Schooling and Earnings?," The Quarterly Journal of Economics, MIT Press, vol. 106(4), pages 979-1014, November. [Downloadable!] (restricted)
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  3. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
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  4. Moffitt, Robert, 1990. "The Econometrics of Kinked Budget Constraints," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 119-39, Spring. [Downloadable!] (restricted)
  5. Blomquist, N. Soren, 1983. "The effect of income taxation on the labor supply of married men in Sweden," Journal of Public Economics, Elsevier, vol. 22(2), pages 169-197, November. [Downloadable!] (restricted)
  6. Blomquist, Soren, 1996. "Estimation methods for male labor supply functions How to take account of nonlinear taxes," Journal of Econometrics, Elsevier, vol. 70(2), pages 383-405, February. [Downloadable!] (restricted)
  7. Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-80, January. [Downloadable!] (restricted)
  8. Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995. "Jackknife Instrumental Variables Estimation," NBER Technical Working Papers 0172, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Blomquist, N. Soren, 1988. "Nonlinear taxes and labor supply," European Economic Review, Elsevier, vol. 32(6), pages 1213-1226, July. [Downloadable!] (restricted)
  10. Joshua D. Angrist & Alan B. Krueger, 1995. "Split Sample Instrumental Variables," NBER Technical Working Papers 0150, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Joshua D. Angrist & Alan B. Krueger, 1990. "The Effect of Age at School Entry on Educational Attainment: An Application of Instrumental Variables with Moments from Two Samples," NBER Working Papers 3571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. M Arellano & C Meghir, 1990. "Female Labour Supply and On-the-Job Search: An Empirical Model Estimated using Complementary Data Sets," CEP Discussion Papers 09, Centre for Economic Performance, LSE.
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  13. Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May. [Downloadable!] (restricted)
  14. Charles R. Nelson & Richard Startz, 1988. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," NBER Technical Working Papers 0068, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  15. Phillips, P.C.B., 1983. "Exact small sample theory in the simultaneous equations model," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 8, pages 449-516 Elsevier. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Russell Davidson & James G. MacKinnon, 2004. "The Case Against JIVE," Working Papers 1031, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  2. Russell Davidson & James G. MacKinnon, 2006. "Moments of IV and JIVE Estimators," Working Papers 1085, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  3. John Chao & Norman Swanson, 2004. "Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments," Departmental Working Papers 200420, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  4. Chao, John Chao & Norman R. Swanson, 2003. "Consistent Estimation with a Large Number of Weak Instruments," Cowles Foundation Discussion Papers 1417, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  5. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society. [Downloadable!]
  6. Fröhlich, Markus & Lechner, Michael, 2004. "Regional Treatment Intensity as an Instrument for the Evaluation of Labour Market Policies," CEPR Discussion Papers 4304, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  7. Paul J. Devereux & Daniel A. Ackerberg, 2006. "Comment on 'The case against JIVE'," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 835-838. [Downloadable!]
  8. Kajal Lahiri & Chuanming Gao, . "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Discussion Papers 01-15, State University of New York at Albany, Department of Economics. [Downloadable!]
  9. Markus Jochmann & Winfried Pohlmeier, 2004. "The Causal Effect of Schooling : empirical Evidence from Germany," Working Papers of the Research Group Heterogenous Labor 04-05, Research Group Heterogeneous Labor, University of Konstanz/ZEW Mannheim. [Downloadable!]
  10. Joshua Angrist & Alan B. Krueger, 2001. "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," NBER Working Papers 8456, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  11. David Audretsch & Erik Lehmann & Susanne Warning, 2004. "University Spillovers: Does the Kind of Science Matter?," Working Papers of the Research Group Heterogenous Labor 04-04, Research Group Heterogeneous Labor, University of Konstanz/ZEW Mannheim. [Downloadable!]
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