Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity
Author
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Daniel A. Ackerberg & Paul J. Devereux, 2008. "Improved Jive Estimators for Overidentified Linear Models with and without Heteroskedasticity," Working Papers 200817, School of Economics, University College Dublin.
- Ackerberg, Daniel & Devereux, Paul J., 2008. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," CEPR Discussion Papers 6926, C.E.P.R. Discussion Papers.
References listed on IDEAS
- Russell Davidson & James G. MacKinnon, 2006.
"The case against JIVE,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 827-833, September.
- James G. MacKinnon & Russell Davidson, 2006. "The case against JIVE," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 827-833.
- James G. MacKinnon & Russell Davidson, 2004. "The Case Against Jive," Working Paper 1031, Economics Department, Queen's University.
- Russell Davidson & James MacKinnon, 2006. "The Case Against Jive," Departmental Working Papers 2004-02, McGill University, Department of Economics.
- Whitney K. Newey & Richard J. Smith, 2004.
"Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators,"
Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
- Whitney K. Newey & Richard Smith, 2003. "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers CWP04/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Norman R. Swanson & John C. Chao, 2004.
"Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments,"
Econometric Society 2004 Far Eastern Meetings
668, Econometric Society.
- John Chao & Norman Swanson, 2004. "Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments," Departmental Working Papers 200420, Rutgers University, Department of Economics.
- Donald, Stephen G & Newey, Whitney K, 2001.
"Choosing the Number of Instruments,"
Econometrica, Econometric Society, vol. 69(5), pages 1161-1191, September.
- Donald, Stephen G. & Whitney Newey, 1999. "Choosing the Number of Instruments," Working papers 99-05, Massachusetts Institute of Technology (MIT), Department of Economics.
- Joshua D. Angrist & Alan B. Krueger, 1993.
"Split Sample Instrumental Variables,"
Working Papers
699, Princeton University, Department of Economics, Industrial Relations Section..
- Joshua D. Angrist & Alan B. Krueger, 1995. "Split Sample Instrumental Variables," NBER Technical Working Papers 0150, National Bureau of Economic Research, Inc.
- 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.
- Chao, John Chao & Norman R. Swanson, 2003. "Consistent Estimation with a Large Number of Weak Instruments," Cowles Foundation Discussion Papers 1417, Cowles Foundation for Research in Economics, Yale University.
- John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics.
- John C. Chao & Norman Rasmus Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Yale School of Management Working Papers ysm374, Yale School of Management.
- Hahn, Jinyong & Hausman, Jerry, 2002. "Notes on bias in estimators for simultaneous equation models," Economics Letters, Elsevier, vol. 75(2), pages 237-241, April.
- 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..
- 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.
- Daniel A. Ackerberg & Paul J. Devereux, 2008. "Improved Jive Estimators for Overidentified Linear Models with and without Heteroskedasticity," Working Papers 200817, School of Economics, University College Dublin.
- Ackerberg, Daniel & Devereux, Paul J., 2008. "Improved JIVE Estimators for Overidentified Linear Models with and without Heteroskedasticity," CEPR Discussion Papers 6926, C.E.P.R. Discussion Papers.
- Paul J. Devereux, 2007.
"Small-sample bias in synthetic cohort models of labor supply,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 839-848.
- Paul J Devereux, 2006. "Small Sample Bias in Synthetic Cohort Models of Labor Supply," Working Papers 200606, School of Economics, University College Dublin.
- Paul J. Devereux & Daniel A. Ackerberg, 2006.
"Comment on 'The case against JIVE',"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 835-838.
- Daniel A. Ackerberg & Paul J. Devereux, 2006. "Comment on ‘The case against JIVE’," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 835-838, September.
- Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998.
"Information Theoretic Approaches to Inference in Moment Condition Models,"
Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
- Guido W Imbens, Phillip Johnson & Richard H Spady, "undated". "Information theoretic approaches to inference in moment condition model," Economics Papers W12., Economics Group, Nuffield College, University of Oxford.
- Imbens, G.W. & Johnson, P. & Spady, R.H., 1995. "Information Theoretic Approaches to Inference in Movement Condition Models," Economics Papers 99, Economics Group, Nuffield College, University of Oxford.
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," NBER Technical Working Papers 0186, National Bureau of Economic Research, Inc.
- Guido W. Imbens & Phillip Johnson & Richard H. Spady, 1995. "Information Theoretic Approaches to Inference in Moment Condition Models," Harvard Institute of Economic Research Working Papers 1736, Harvard - Institute of Economic Research.
- 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.
- Devereux, Paul J., 2007.
"Improved Errors-in-Variables Estimators for Grouped Data,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 278-287, July.
- Paul J Devereux, 2006. "Improved Errors-in-Variables Estimators for Grouped Data," Working Papers 200602, School of Economics, University College Dublin.
- Devereux, Paul J., 2007. "Improved Errors-in-Variables Estimators for Grouped Data," CEPR Discussion Papers 6167, C.E.P.R. Discussion Papers.
- Joshua D. Angrist & Alan B. Keueger, 1991.
"Does Compulsory School Attendance Affect Schooling and Earnings?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 106(4), pages 979-1014.
- Joshua D. Angrist & Alan B. Krueger, 1990. "Does Compulsory School Attendance Affect Schooling and Earnings?," Working Papers 653, Princeton University, Department of Economics, Industrial Relations Section..
- Joshua D. Angrist & Alan B. Krueger, 1990. "Does Compulsory School Attendance Affect Schooling and Earnings?," NBER Working Papers 3572, National Bureau of Economic Research, Inc.
- Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
- Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-681, May.
- 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.
- Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen & John C. Chao & Norman R. Swanson, 2012.
"Instrumental variable estimation with heteroskedasticity and many instruments,"
Quantitative Economics, Econometric Society, vol. 3(2), pages 211-255, July.
- Jerry Hausman & Whitney K. Newey & Tiemen M. Woutersen & John Chao & Norman Swanson, 2007. "Instrumental variable estimation with heteroskedasticity and many instruments," CeMMAP working papers CWP22/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Departmental Working Papers 201111, Rutgers University, Department of Economics.
- Hausman & Newey & Woutersen & Chao & Swanson, 2009. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Economics Working Paper Archive 566, The Johns Hopkins University,Department of Economics.
- Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments,"
Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
- Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
- 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..
- Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995. "Jackknife Instrumental Variables Estimation," NBER Technical Working Papers 0172, National Bureau of Economic Research, Inc.
- 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.
- Hansen, Christian & Hausman, Jerry & Newey, Whitney, 2008.
"Estimation With Many Instrumental Variables,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 398-422.
- Christian Hansen & Jerry Hausman & Whitney K. Newey, 2006. "Estimation with many instrumental variables," CeMMAP working papers CWP19/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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.- Chao, John C. & Swanson, Norman R. & Hausman, Jerry A. & Newey, Whitney K. & Woutersen, Tiemen, 2012.
"Asymptotic Distribution Of Jive In A Heteroskedastic Iv Regression With Many Instruments,"
Econometric Theory, Cambridge University Press, vol. 28(1), pages 42-86, February.
- Chao & Swanson & Hausman & Newey & Woutersen, 2010. "Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments," Economics Working Paper Archive 567, The Johns Hopkins University,Department of Economics.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011. "Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments," Departmental Working Papers 201110, Rutgers University, Department of Economics.
- 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.
- 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.
- 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.
- Guilhem Bascle, 2008. "Controlling for endogeneity with instrumental variables in strategic management research," Post-Print hal-00576795, HAL.
- Norman R. Swanson & John C. Chao, 2004.
"Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments,"
Econometric Society 2004 Far Eastern Meetings
668, Econometric Society.
- John Chao & Norman Swanson, 2004. "Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments," Departmental Working Papers 200420, Rutgers University, Department of Economics.
- 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.
- Chao, John Chao & Norman R. Swanson, 2003. "Consistent Estimation with a Large Number of Weak Instruments," Cowles Foundation Discussion Papers 1417, Cowles Foundation for Research in Economics, Yale University.
- John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics.
- John C. Chao & Norman Rasmus Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Yale School of Management Working Papers ysm374, Yale School of Management.
- Michal Kolesár & Raj Chetty & John Friedman & Edward Glaeser & Guido W. Imbens, 2015.
"Identification and Inference With Many Invalid Instruments,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 474-484, October.
- Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011. "Identification and Inference with Many Invalid Instruments," NBER Working Papers 17519, National Bureau of Economic Research, Inc.
- Kolesar, Michal & Chetty, Raj & Friedman, John & Glaeser, Edward Ludwig & Imbens, Guido, 2015. "Identification and Inference With Many Invalid Instruments," Scholarly Articles 27769098, Harvard University Department of Economics.
- Wang, Wenjie & Kaffo, Maximilien, 2016. "Bootstrap inference for instrumental variable models with many weak instruments," Journal of Econometrics, Elsevier, vol. 192(1), pages 231-268.
- Zhenhong Huang & Chen Wang & Jianfeng Yao, 2023. "A specification test for the strength of instrumental variables," Papers 2302.14396, arXiv.org.
- Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen & John C. Chao & Norman R. Swanson, 2012.
"Instrumental variable estimation with heteroskedasticity and many instruments,"
Quantitative Economics, Econometric Society, vol. 3(2), pages 211-255, July.
- Jerry Hausman & Whitney K. Newey & Tiemen M. Woutersen & John Chao & Norman Swanson, 2007. "Instrumental variable estimation with heteroskedasticity and many instruments," CeMMAP working papers CWP22/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hausman & Newey & Woutersen & Chao & Swanson, 2009. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Economics Working Paper Archive 566, The Johns Hopkins University,Department of Economics.
- Norman R. Swanson & John C. Chao & Jerry A. Hausman & Whitney K. Newey & Tiemen Woutersen, 2011. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments," Departmental Working Papers 201111, Rutgers University, Department of Economics.
- Hansen, Christian & Kozbur, Damian, 2014. "Instrumental variables estimation with many weak instruments using regularized JIVE," Journal of Econometrics, Elsevier, vol. 182(2), pages 290-308.
- Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
- Whitney K. Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- A. Belloni & D. Chen & V. Chernozhukov & C. Hansen, 2012.
"Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain,"
Econometrica, Econometric Society, vol. 80(6), pages 2369-2429, November.
- Alexandre Belloni & D. Chen & Victor Chernozhukov & Christian Hansen, 2010. "Sparse models and methods for optimal instruments with an application to eminent domain," CeMMAP working papers CWP31/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Daniel Chen & Victor Chernozhukov & Christian Hansen, 2010. "Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain," Papers 1010.4345, arXiv.org, revised Apr 2015.
- Hausman, Jerry & Lewis, Randall & Menzel, Konrad & Newey, Whitney, 2011. "Properties of the CUE estimator and a modification with moments," Journal of Econometrics, Elsevier, vol. 165(1), pages 45-57.
- Isaiah Andrews & Timothy B. Armstrong, 2017.
"Unbiased instrumental variables estimation under known first‐stage sign,"
Quantitative Economics, Econometric Society, vol. 8(2), pages 479-503, July.
- Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984R5, Cowles Foundation for Research in Economics, Yale University, revised Nov 2016.
- Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984R3, Cowles Foundation for Research in Economics, Yale University, revised Oct 2015.
- Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984R2, Cowles Foundation for Research in Economics, Yale University, revised Sep 2015.
- Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2015.
- Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984, Cowles Foundation for Research in Economics, Yale University.
- Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984R4, Cowles Foundation for Research in Economics, Yale University, revised Apr 2016.
- Devereux, Paul J., 2007.
"Improved Errors-in-Variables Estimators for Grouped Data,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 278-287, July.
- Paul J Devereux, 2006. "Improved Errors-in-Variables Estimators for Grouped Data," Working Papers 200602, School of Economics, University College Dublin.
- Devereux, Paul J., 2007. "Improved Errors-in-Variables Estimators for Grouped Data," CEPR Discussion Papers 6167, C.E.P.R. Discussion Papers.
- Jaeger, David A. & Parys, Juliane, 2009. "On the Sensitivity of Return to Schooling Estimates to Estimation Methods, Model Specification, and Influential Outliers If Identification Is Weak," IZA Discussion Papers 3961, Institute of Labor Economics (IZA).
- 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.
More about this item
JEL classification:
- L24 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Contracting Out; Joint Ventures
- L40 - Industrial Organization - - Antitrust Issues and Policies - - - General
- O31 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Innovation and Invention: Processes and Incentives
- O34 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Intellectual Property and Intellectual Capital
Statistics
Access and download statisticsCorrections
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:tpr:restat:v:91:y:2009:i:2:p:351-362. 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: Kelly McDougall (email available below). General contact details of provider: https://direct.mit.edu/journals .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.