IDEAS home Printed from https://ideas.repec.org/a/jae/japmet/v21y2006i6p827-833.html
   My bibliography  Save this article

The case against JIVE

Author

Listed:
  • James G. MacKinnon

    (Department of Economics, Queen's University, Kingston, Ontario, Canada K7L 3N6)

  • Russell Davidson

Abstract

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. Copyright © 2006 John Wiley & Sons, Ltd.

Suggested Citation

  • James G. MacKinnon & Russell Davidson, 2006. "The case against JIVE," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 827-833.
    • Handle: RePEc:jae:japmet:v:21:y:2006:i:6:p:827-833
    DOI: 10.1002/jae.873
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/jae.873
    File Function: Link to full text; subscription required
    Download Restriction: no
    File URL: http://qed.econ.queensu.ca:80/jae/2006-v21.6/
    File Function: Supporting data files and programs
    Download Restriction: no
    File URL: https://libkey.io/10.1002/jae.873?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Nelson, Charles R & Startz, Richard, 1990. "The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One," The Journal of Business, University of Chicago Press, vol. 63(1), pages 125-140, January.
    2. Russell Davidson & James G. MacKinnon, 2007. "Moments of IV and JIVE estimators," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 541-553, November.
    3. Fuller, Wayne A, 1977. "Some Properties of a Modification of the Limited Information Estimator," Econometrica, Econometric Society, vol. 45(4), pages 939-953, May.
    4. Nelson, Charles R & Startz, Richard, 1990. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 58(4), pages 967-976, July.
    5. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    6. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
    7. 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, June.
    8. 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..
    9. 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..
    10. Phillips, Garry D A & Hale, C, 1977. "The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(1), pages 219-228, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. 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.
    3. 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.
    4. Guilhem Bascle, 2008. "Controlling for endogeneity with instrumental variables in strategic management research," Post-Print hal-00576795, HAL.
    5. Carlos Velasco & 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 2024-09-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    6. 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.
    7. David M. Kaplan & Xin Liu, 2024. "k-Class instrumental variables quantile regression," Empirical Economics, Springer, vol. 67(1), pages 111-141, July.
    8. Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H., 2007. "Performance of conditional Wald tests in IV regression with weak instruments," Journal of Econometrics, Elsevier, vol. 139(1), pages 116-132, July.
    9. Murray Michael P., 2017. "Linear Model IV Estimation When Instruments Are Many or Weak," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-22, January.
    10. 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.
    11. 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.
    12. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Working Papers 0039, University of Washington, Department of Economics.
    13. Dufour, Jean-Marie & Taamouti, Mohamed, 2007. "Further results on projection-based inference in IV regressions with weak, collinear or missing instruments," Journal of Econometrics, Elsevier, vol. 139(1), pages 133-153, July.
    14. Brian P. Poi, 2006. "Jackknife instrumental variables estimation in Stata," Stata Journal, StataCorp LP, vol. 6(3), pages 364-376, September.
    15. 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.
    16. 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.
    17. 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.
    18. Matsushita, Yukitoshi & Otsu, Taisuke, 2024. "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.
    19. Michael P. Murray, 2006. "Avoiding Invalid Instruments and Coping with Weak Instruments," Journal of Economic Perspectives, American Economic Association, vol. 20(4), pages 111-132, Fall.
    20. Michael Keane & Timothy Neal, 2021. "A Practical Guide to Weak Instruments," Discussion Papers 2021-05b, School of Economics, The University of New South Wales.

    More about this item

    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

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. The case against JIVE (Journal of Applied Econometrics 2006) in ReplicationWiki

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:21:y:2006:i:6:p:827-833. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.