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The case against JIVE: a comment

✍ Scribed by Sören Blomquist; Matz Dahlberg

Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
37 KB
Volume
21
Category
Article
ISSN
0883-7252

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✦ Synopsis

In a 1999 issue of the Journal of Applied Econometrics, two papers appeared examining the small sample properties of LIML and some jackknife IV estimators (JIVE). These two papers come to somewhat different conclusions regarding the appropriateness of using the jackknife IV estimators in applied work. While Angrist et al. (1999), henceforth AIK, end up on a quite positive note, as illustrated by the following quotations:

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Comment on ‘The case against JIVE’
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✍ Daniel A. Ackerberg; Paul J. Devereux 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 70 KB

While Davidson and MacKinnon (2006) (DM) present an interesting analysis of recently advocated estimators for overidentified instrumental variables models, we disagree with their conclusion that the LIML estimator should almost always be prefered to the JIVE estimators of Phillips and Hale (1977) (P

The case against JIVE
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## 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

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We welcome the comments on our paper by Ackerberg and Devereux (AD) and Blomquist and Dahlberg (BD), and we are happy to take this opportunity to respond briefly to them. We agree wholeheartedly with both AD and BD that is it unprofitable to try to obtain meaningful empirical results when all avail

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