Anton Nakov, "Jackknife Instrumental Variables Estimation: Replication and
Extension of Angrist, Imbens and Krueger (1999)", Journal of Applied
Econometrics, Vol. 25, No. 6, 2010, pp. 1063-1066.

This paper uses the data from

  Joshua Angrist, Guido Imbens, and Allan Krueger, "Jackknife Instrumental
  Variables Estimation", Journal of Applied Econometrics, Vol. 14, No. 1,
  1999, pp. 57-67.

which is available here:

  http://www.econ.queensu.ca/jae/1999-v14.1/angrist-imbens-krueger/jive.zip

There are two zip files, nakov-progs.zip and nakov-tables.zip. Unix/Linux
users should use "unzip -a" for the former but *not* for the latter, since
it contains binary (.xls) files.

The file nakov-progs.zip contains nine Ox programs:

1. moncarlo.ox 

Runs the Monte Carlo simulations for the five models. The parameters are set
to replicate the original results of Angrist, Imbens and Krueger (1999).

To replicate the new results, set the sample size "T" to 25; the
autocorrelation "rho" to 0.95; or change the covariance matrix "var" for
Model 3.

2. schooling.ox

Estimates returns to schooling. The program is set to replicate the original
results of Angrist, Imbens and Krueger (1999). Set "samples" to 100 to
replicate the new results.

3. ols.ox

Performs ordinary least squares estimation. Input: dependent variable y,
matrix of regressors X. Output: point estimate and standard error of the
slope coefficients 

4. tsls.ox

Performs two-stage least squares estimation. Input: dependent variable y,
matrix of endogenous regressors X, matrix of instruments Z. Output: point
estimate and standard error of the slope coefficients in the main
regression.

5. liml.ox

Performs limited information maximum likelihood estimation. Input: dependent
variable y1, matrix of endogenous regressors Y2, matrix of included
exogenous regressors X, matrix of excluded exogenous regressors Z. Output:
point estimate and standard error of the slope coefficients in the main
regression.

6. jive1.ox

Implements the JIVE1 estimator of Angrist, Imbens and Krueger (1999). Input:
dependent variable y, matrix of endogenous regressors X, matrix of
instruments Z. Output: point estimate and standard error of the slope
coefficients in the main regression.

7. jive2.ox

Implements the JIVE2 estimator of Angrist, Imbens and Krueger (1999). Input:
dependent variable y, matrix of endogenous regressors X, matrix of
instruments Z. Output: point estimate and standard error of the slope
coefficients in the main regression.

8. stats.ox

Calculates the quantiles, Median Absolute Error, and 95% confidence interval
coverage

9. setseed.ox

A function by Charles Bos to reset the iSeed. Input: integer iSeed, value
for ranseed if iSeed > 0, else current time is used. Output: none, ranseed
is reset

The file nakov-tables.zip contains six Excel files with output tables:

table-I.xls : replication of Table I (Monte Carlo simulations) in Angrist,
	      Imbens and Krueger (1999).

table-II.xls : replication of Table II (Returns to schooling) in Angrist,
	       Imbens and Krueger (1999).

table-1.xls : Table 1 of the replication paper containing Anton Nakov's
	      simulations of Model 3 (where the discrepancy with the
	      original paper was found)

table-2.xls : Table 2 of the replication paper: Returns to schooling
	      estimated from 100 random sub-samples of 50,000 observations 

table-3.xls : Table 3 of the replication paper: Monte Carlo simulations with
	      a small sample size, N = 25

table-4.xls : Table 4 of the replication paper: Autocorrelated errors,
	      rho = 0.95