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Symmetric Jackknife Instrumental Variable Estimation

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  • Bekker, Paul A.
  • Crudu, Federico

Abstract

This paper gives a new jackknife estimator for instrumental variable inference with unknown heteroskedasticity. The estimator is derived by using a method of moments approach similar to the one that produces LIML in case of homoskedasticity. The estimator is symmetric in the endogenous variables including the dependent variable. Many instruments and many weak instruments asymptotic distributions are derived using high-level assumptions that allow for the simultaneous presence of weak and strong instruments for different explanatory variables. Standard errors are formulated compactly. We review briefly known estimators and show in particular that the symmetric jackknife estimator performs well when compared to the HLIM and HFUL estimators of Hausman et al. (2011) in Monte Carlo experiments.

Suggested Citation

  • Bekker, Paul A. & Crudu, Federico, 2012. "Symmetric Jackknife Instrumental Variable Estimation," MPRA Paper 37853, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:37853
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    References listed on IDEAS

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    More about this item

    Keywords

    Instrumental Variables; Heteroskedasticity; many Instruments; Jackknife;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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