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

Author

Listed:
  • Brigham Frandsen

    (Brigham Young University)

Programming Language

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.

Suggested Citation

  • Brigham Frandsen, 2025. "SJIVE: Stata module providing Shrunken Jackknife instrumental variables estimator (SJIVE)," Statistical Software Components S459556, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459556
    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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    File URL: http://fmwww.bc.edu/repec/bocode/s/sjive.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/s/sjive.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/s/sjiveexample.dta
    File Function: sample data file
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