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Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity

  • Ackerberg, Daniel
  • Devereux, Paul J.

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.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 6926.

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Date of creation: Aug 2008
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Handle: RePEc:cpr:ceprdp:6926
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  1. 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.
  2. Russell Davidson & James MacKinnon, 2006. "The Case Against Jive," Departmental Working Papers 2004-02, McGill University, Department of Economics.
  3. Chao, John Chao & Norman R. Swanson, 2003. "Consistent Estimation with a Large Number of Weak Instruments," Cowles Foundation Discussion Papers 1417, Cowles Foundation for Research in Economics, Yale University.
  4. Devereux, Paul J., 2007. "Improved Errors-in-Variables Estimators for Grouped Data," CEPR Discussion Papers 6167, C.E.P.R. Discussion Papers.
  5. Joshua D. Angrist & Alan B. Krueger, 1990. "Does Compulsory School Attendance Affect Schooling and Earnings?," NBER Working Papers 3572, National Bureau of Economic Research, Inc.
  6. Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995. "Jackknife Instrumental Variables Estimation," NBER Technical Working Papers 0172, National Bureau of Economic Research, Inc.
  7. 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.
  8. Blomquist, Soren & Dahlberg, Matz, 1999. "Small Sample Properties of LIML and Jackknife IV Estimators: Experiments with Weak Instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 69-88, Jan.-Feb..
  9. Paul J. Devereux, 2006. "Small sample bias in synthetic cohort models of labor supply," Working Papers 200606, School of Economics, University College Dublin.
  10. 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.
  11. Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Departmental Working Papers 201111, Rutgers University, Department of Economics.
  12. Angrist, Joshua D & Krueger, Alan B, 1995. "Split-Sample Instrumental Variables Estimates of the Return to Schooling," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(2), pages 225-35, April.
  13. Whitney Newey & Richard Smith, 2003. "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers CWP04/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  14. Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May.
  15. Jinyong Hahn & Jerry Hausman & Guido Kuersteiner, 2004. "Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 272-306, 06.
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