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Small sample properties of LIML and jackknife IV estimators: Experiments with weak instruments
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Economics.
1999 (English)In: JOURNAL OF APPLIED ECONOMETRICS, ISSN 0883-7252, Vol. 14, no 1, 69-88 p.Article in journal (Refereed) Published
Abstract [en]

Using Monte Carlo simulations we study the small sample performance of the traditional TSLS, the LIML and four new jackknife IV estimators when the instruments are weak. We find that the new estimators and LIML have a smaller bias but a larger variance th

Place, publisher, year, edition, pages
JOHN WILEY & SONS LTD , 1999. Vol. 14, no 1, 69-88 p.
Keyword [en]
VARIABLE ESTIMATORS; ECONOMETRICS; SWEDEN
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-42754OAI: oai:DiVA.org:uu-42754DiVA: diva2:70656
Note
Blomquist S, Univ Uppsala, Dept Econ, Box 513, S-75120 Uppsala, Sweden. Univ Uppsala, Dept Econ, S-75120 Uppsala, Sweden.Available from: 2008-10-17 Created: 2008-10-17 Last updated: 2011-01-14

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CiteExportLink to record
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