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The Case Against JIVE

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  • Davidson, Russell
  • MacKinnon, James

Abstract

We perform an extensive series of Monte Carlo experiments to compare the performance of the "Jacknife 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.
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Suggested Citation

  • Davidson, Russell & MacKinnon, James, 2004. "The Case Against JIVE," Queen's Economics Department Working Papers 273470, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:273470
    DOI: 10.22004/ag.econ.273470
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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