Arbeitspapier
The Case Against JIVE
We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the "Jackknife 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 1031
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
- Thema
-
two-stage least squares
LIML
JIVE
instrumental variables
weak instruments
IV-Schätzung
Monte-Carlo-Simulation
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Davidson, Russell
MacKinnon, James G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Davidson, Russell
- MacKinnon, James G.
- Queen's University, Department of Economics
Entstanden
- 2004
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