jive.internal function

Internal function for the Jackknife Instrumental Variable Estimator (JIVE).

Compute the JIVE for a multiple regression

jive.internal(y,X,Z)

Arguments

• y: Numeric: A vector of observations, representing the outcome variable.
• X: Numeric: A matrix of observations, whose number of columns corresponds to the number of predictors in the model, and the number of rows should be conformal with the number of entries in $y$. This matrix may contain both endogenous and exogenous variables.
• Z: Numeric: A matrix of observations representing the intrumental variables (IVs) in the first-stage structural equation. The number of IVs should be at least as large as the number of endogenous variables in $X$.

Details

See documentaion for the jive.est function. Users should use the jive.est function, instead.

Returns

• B: A vector of estimates for the coefficients of interest.

Author(s)

Cedric E. Ginestet cedric.ginestet@kcl.ac.uk

References

Angrist, J., Imbens, G., and Krueger, A.B. (1995). Jackknife instrumental variables esti- mation. Technical Working Paper 172, National Bureau of Economic Research.

Angrist, J.D., Imbens, G.W., and Krueger, A.B. (1999). Jackknife instrumental variables estimation. Journal of Applied Econometrics, 14(1), 57--67.