QED Working Paper Number
1031

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.

Author(s)
Russell Davidson
JEL Codes
Keywords
two-stage least squares
LIML
JIVE
instrumental variables
weak instruments
Working Paper