jive.internal {SteinIV}

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

Description

Compute the JIVE for a multiple regression

Usage

  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.

Value

B

A vector of estimates for the coefficients of interest.

Author(s)

Cedric E. Ginestet <[e-mail]>

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.