The case against JIVE

Journal of Applied Econometrics

Volumn 21, Issue 6, 2006, Pages 827-833

  Davidson, Russell ^a,b   Mackinnon, James G ^c  

^a MCGILL UNIVERSITY   (Canada)

^b Centre National de la Recherche Scientifique   (France)

^c QUEEN S UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33750509820     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.873     Document Type: Article

References (12)

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2. Blomquist S, Dahlberg M. 1999. Small sample properties of LIML and Jackknife IV estimators: experiments with weak instruments. Journal of Applied Econometrics 14: 69-88.
3. Davidson R, MacKinnon JG. 2005. Moments of IV and JTVE estimators. Mimeo, Queen's University.
4. Flores-Lagunes A. 2002. Estimation methods robust to weak instruments. University of Arizona working paper.
5. Fuller WA. 1977. Some properties of a modification of the limited information estimator. Econometrica 45: 939-953.
6. Hahn J, Hausman JA, Kuersteiner G. 2004. Estimation with weak instruments: accuracy of higher order bias and MSB approximations. Econometrics Journal 7: 272-306.
7. Nelson CR, Startz R. 1990a. The distribution of the instrumental variables estimator and its t-ratio when the instrument is a poor one. Journal of Business 63: S125-S140.
8. Nelson CR, Startz R. 1990b. Some further results on the exact small sample properties of the instrumental variables estimator. Econometrica 58: 967-976.
9. Phillips GDA, Hale C. 1977. The bias of instrumental variable estimators of simultaneous equation systems. International Economic Review 18: 219-228.
10. Phillips PCB. 1984. Exact small sample theory in the simultaneous equations model. In Handbook of Econometrics, Vol. 1, Griliches Z, Intriligator M (eds). North-Holland: Amsterdam.
11. Staiger D, Stock JH. 1997. Instrumental variables regressions with weak instruments. Econometrica 65: 557-586.
12. Stock JH, Wright JH, Yogo M. 2002. A survey of weak instruments and weak identification in generalized method of moments. Journal of Business and Economic Statistics 20: 518-529.