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Jackknife Instrumental Variables Estimation*

* This paper has been replicated

Author

Listed:
  • Angrist, J D
  • Imbens, G W
  • Krueger, A B
Abstract
Two-stage-least-squares (2SLS) estimates are biased towards the probability limit of OLS estimates. This bias grows with the degree of over-identification and can generate highly misleading results. In this paper we propose two simple alternatives to 2SLS and limited-information-maximum-likelihood (LIML) estimators for models with more instruments than endogenous regressors. These estimators can be interpreted as instrumental variables procedures using an instrument that is independent of disturbances even in finite samples. Independence is achieved by using a 'leave-one-out' jackknife-type fitted value in place of the usual first stage equation. The new estimators are first order equivalent to 2SLS but with finite-sample properties superior, in terms of bias and coverage rate of confidence intervals, compared to those of 2SLS and similar to those of LIML, when there are many instruments.

Suggested Citation

  • 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..
    • Handle: RePEc:jae:japmet:v:14:y:1999:i:1:p:57-67
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    File URL: http://qed.econ.queensu.ca:80/jae/1999-v14.1/
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    References listed on IDEAS

    as
    1. Altonji, Joseph G & Segal, Lewis M, 1996. "Small-Sample Bias in GMM Estimation of Covariance Structures," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 353-366, July.
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    3. 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..
    4. Angrist, Joshua D, 1990. "Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence from Social Security Administrative Records," American Economic Review, American Economic Association, vol. 80(3), pages 313-336, June.
    5. Angrist, Joshua D & Krueger, Alan B, 1995. "Split-Sample Instrumental Variables Estimates of the Return to Schooling," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(2), pages 225-235, April.
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    10. 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..
    11. Joshua D. Angrist & Alan B. Krueger, 1993. "Split Sample Instrumental Variables," Working Papers 699, Princeton University, Department of Economics, Industrial Relations Section..
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    15. Angrist, Joshua D, 1990. "Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence from Social Security Administrative Records: Errata," American Economic Review, American Economic Association, vol. 80(5), pages 1284-1286, December.
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    Replication

    This item has been replicated by:
  • Anton Nakov, 2010. "Jackknife instrumental variables estimation: replication and extension of angrist, imbens and krueger (1999)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 1063-1066.

    • More about this item

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Jackknife Instrumental Variables Estimation (Journal of Applied Econometrics 1999) in ReplicationWiki
    2. Jackknife instrumental variables estimation (Journal of Applied Econometrics 1999) in ReplicationWiki

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