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The case against JIVE

2006; Wiley; Volume: 21; Issue: 6 Linguagem: Inglês

10.1002/jae.873

1099-1255

Russell Davidson, James G. MacKinnon,

Financial Risk and Volatility Modeling

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 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. Copyright © 2006 John Wiley & Sons, Ltd.