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

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Cited by:

  1. Joshua D. Angrist & Alan B. Krueger, 2001. "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 69-85, Fall.
  2. Lucia Rizzica, 2018. "When the Cat’s Away The Effects of Spousal Migration on Investments on Children," The World Bank Economic Review, World Bank, vol. 32(1), pages 85-108.
  3. Rockey, James, 2012. "Reconsidering the fiscal effects of constitutions," European Journal of Political Economy, Elsevier, vol. 28(3), pages 313-323.
  4. Mohamed Elheddad & Mohga Bassim & Rizwan Ahmed, 2021. "FDI and economic growth in the GCC: does the oil sector matter?," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 178-190.
  5. Fletcher, Jason M. & Ross, Stephen L. & Zhang, Yuxiu, 2020. "The consequences of friendships: Evidence on the effect of social relationships in school on academic achievement," Journal of Urban Economics, Elsevier, vol. 116(C).
  6. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Working Papers 0039, University of Washington, Department of Economics.
  7. 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.
  8. Morricone, Serena & Munari, Federico & Oriani, Raffaele & de Rassenfosse, Gaetan, 2017. "Commercialization Strategy and IPO Underpricing," Research Policy, Elsevier, vol. 46(6), pages 1133-1141.
  9. Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen & John C. Chao & Norman R. Swanson, 2012. "Instrumental variable estimation with heteroskedasticity and many instruments," Quantitative Economics, Econometric Society, vol. 3(2), pages 211-255, July.
  10. Markus Frölich & Michael Lechner, 2004. "Regional treatment intensity as an instrument for the evaluation of labour market policies," University of St. Gallen Department of Economics working paper series 2004 2004-08, Department of Economics, University of St. Gallen.
  11. Bekker, Paul A. & Crudu, Federico, 2012. "Symmetric Jackknife Instrumental Variable Estimation," MPRA Paper 37853, University Library of Munich, Germany.
  12. Russell Davidson & James G. MacKinnon, 2007. "Moments of IV and JIVE estimators," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 541-553, November.
  13. John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, September.
  14. Asadul Islam & Dietrich K. Fausten, 2008. "Skilled Immigration and Wages in Australia," The Economic Record, The Economic Society of Australia, vol. 84(s1), pages 66-82, September.
  15. Joaquim Ramalho, 2003. "Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures and Instrumental Variables," Economics Working Papers 9_2003, University of Évora, Department of Economics (Portugal).
  16. Chao, John C. & Hausman, Jerry A. & Newey, Whitney K. & Swanson, Norman R. & Woutersen, Tiemen, 2014. "Testing overidentifying restrictions with many instruments and heteroskedasticity," Journal of Econometrics, Elsevier, vol. 178(P1), pages 15-21.
  17. Alexandre Dmitriev, 2013. "Institutions and growth: evidence from estimation methods robust to weak instruments," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1625-1635, May.
  18. Russell Davidson & James G. MacKinnon, 2006. "The case against JIVE," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 827-833, September.
  19. Brian P. Poi, 2006. "Jackknife instrumental variables estimation in Stata," Stata Journal, StataCorp LP, vol. 6(3), pages 364-376, September.
  20. 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.
  21. Chao, John C. & Swanson, Norman R. & Hausman, Jerry A. & Newey, Whitney K. & Woutersen, Tiemen, 2012. "Asymptotic Distribution Of Jive In A Heteroskedastic Iv Regression With Many Instruments," Econometric Theory, Cambridge University Press, vol. 28(1), pages 42-86, February.
  22. Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins, 2022. "Locally Robust Semiparametric Estimation," Econometrica, Econometric Society, vol. 90(4), pages 1501-1535, July.
  23. Bekker, Paul A. & Crudu, Federico, 2015. "Jackknife instrumental variable estimation with heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 332-342.
  24. Arcand, Jean-Louis & Ai, Chunrong & Ethier, Francois, 2007. "Moral hazard and Marshallian inefficiency: Evidence from Tunisia," Journal of Development Economics, Elsevier, vol. 83(2), pages 411-445, July.
  25. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 505-520, June.
  26. 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.
  27. Nam-Hyun Kim & Winfried Pohlmeier, 2015. "A Regularization Approach to Biased Two-Stage Least Squares Estimation," Working Paper series 15-22, Rimini Centre for Economic Analysis.
  28. Aiwei Huang & Madhurima Chandra & Laura Malkhasyan, 2021. "Weak Instrumental Variables: Limitations of Traditional 2SLS and Exploring Alternative Instrumental Variable Estimators," Papers 2104.12370, arXiv.org.
  29. Angrist, J D & Imbens, G W & Krueger, A B, 1999. "Jackknife Instrumental Variables Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 57-67, Jan.-Feb..
  30. Luca Grassetti, 2011. "A note on transformed likelihood approach in linear dynamic panel models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 221-240, June.
  31. Sören Blomquist & Matz Dahlberg, 2006. "The case against JIVE: a comment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 839-841, September.
  32. Jason M. Fletcher & Stephen L. Ross & Yuxiu Zhang, 2013. "The Determinants and Consequences of Friendship Composition," Working papers 2013-31, University of Connecticut, Department of Economics.
  33. Joshua Angrist & Alan Krueger, 2001. "Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments," Working Papers 834, Princeton University, Department of Economics, Industrial Relations Section..
  34. M. Christopher Auld, 2012. "Using Observational Data to Identify the Causal Effects of Health-related Behaviour," Chapters, in: Andrew M. Jones (ed.), The Elgar Companion to Health Economics, Second Edition, chapter 4, Edward Elgar Publishing.
  35. Devereux, Paul J., 2007. "Improved Errors-in-Variables Estimators for Grouped Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 278-287, July.
  36. John C. Chao & Jerry A. Hausman & Whitney K. Newey & Norman R. Swanson & Tiemen Woutersen, 2012. "Combining Two Consistent Estimators," Advances in Econometrics, in: Essays in Honor of Jerry Hausman, pages 33-53, Emerald Group Publishing Limited.
  37. Matsushita, Yukitoshi & Otsu, Taisuke, 2022. "A jackknife Lagrange multiplier test with many weak instruments," LSE Research Online Documents on Economics 116392, London School of Economics and Political Science, LSE Library.
  38. Jan Hanousek & Anastasiya Shamshur & Jan Svejnar & Jiri Tresl, 2021. "Corruption level and uncertainty, FDI and domestic investment," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 52(9), pages 1750-1774, December.
  39. Guilhem Bascle, 2008. "Controlling for endogeneity with instrumental variables in strategic management research," Post-Print hal-00576795, HAL.
  40. Rieber, Alexander & Schechinger, Steffen, 2019. "Herding Behavior between Rating Agencies," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203580, Verein für Socialpolitik / German Economic Association.
  41. Bohacek, Radim & Myck, Michal, 2017. "Economic Consequences of Political Persecution," IZA Discussion Papers 11136, Institute of Labor Economics (IZA).
  42. Xuexin WANG, 2021. "Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption," Working Papers 2021-11-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  43. Çiğdem Börke Tunali & Jan Fidrmuc, 2015. "State Aid Policy in the European Union," Journal of Common Market Studies, Wiley Blackwell, vol. 53(5), pages 1143-1162, September.
  44. Namhyun Kim & Winfried Pohlmeier, 2016. "A Note on the Regularized Approach to Biased 2SLS Estimation with Weak Instruments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(6), pages 915-924, December.
  45. Daniel A. Ackerberg & Paul J. Devereux, 2009. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 91(2), pages 351-362, May.
  46. Prosper Dovonon & Firmin Doko Tchatoka & Michael Aguessy, 2019. "Relevant moment selection under mixed identification strength," School of Economics and Public Policy Working Papers 2019-04, University of Adelaide, School of Economics and Public Policy.
  47. Chao, John C. & Swanson, Norman R. & Woutersen, Tiemen, 2023. "Jackknife estimation of a cluster-sample IV regression model with many weak instruments," Journal of Econometrics, Elsevier, vol. 235(2), pages 1747-1769.
  48. Pilařová, Tereza & Kandakov, Alexander, 2017. "The impact of remittances on school attendance: The evidence from the Republic of Moldova," International Journal of Educational Development, Elsevier, vol. 55(C), pages 11-16.
  49. Noud P.A. van Giersbergen, 2011. "Bootstrapping Subset Test Statistics in IV Regression," UvA-Econometrics Working Papers 11-08, Universiteit van Amsterdam, Dept. of Econometrics.
  50. Keisuke Hirano & Jack R. Porter, 2015. "Location Properties of Point Estimators in Linear Instrumental Variables and Related Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 720-733, December.
  51. Whitney K. Newey & James M. Robins, 2017. "Cross-fitting and fast remainder rates for semiparametric estimation," CeMMAP working papers CWP41/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  52. Battiston, Diego, 2013. "The impact of immigration on the labour market: Evidence from 20 years of cross-border migration to Argentina," MPRA Paper 52424, University Library of Munich, Germany.
  53. Gao, Chuanming & Lahiri, Kajal, 2000. "Further consequences of viewing LIML as an iterated Aitken estimator," Journal of Econometrics, Elsevier, vol. 98(2), pages 187-202, October.
  54. Whitney K. Newey & James M. Robins, 2017. "Cross-fitting and fast remainder rates for semiparametric estimation," CeMMAP working papers 41/17, Institute for Fiscal Studies.
  55. Chuanming Gao & Kajal Lahiri, 2019. "A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometrics, MDPI, vol. 7(3), pages 1-28, July.
  56. Michael Doumpos & Chrysovalantis Gaganis & Fotios Pasiouras, 2016. "Bank Diversification and Overall Financial Strength: International Evidence," Working Papers 1602, University of Crete, Department of Economics.
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