Robust confidence sets in the presence of weak instruments
Name
Mikusheva_Robust confidence.pdf
Size
320.3 KB
Format
Adobe PDF
Checksum (MD5)
f92208ea5c3817dd4ea3622cd69c20f7
Author(s)
Mikusheva, Anna
Date Issued
January 2010
Journal
Journal of Econometrics
Publisher
Elsevier
Citation
Mikusheva, Anna. “Robust confidence sets in the presence of weak instruments.” Journal of Econometrics 157.2 (2010): 236-247.
Version
Author's final manuscript
Abstract
This paper considers instrumental variable regression with a single endogenous variable and the potential presence of weak instruments. I construct confidence sets for the coefficient on the single endogenous regressor by inverting tests robust to weak instruments. I suggest a numerically simple algorithm for finding the Conditional Likelihood Ratio (CLR) confidence sets. Full descriptions of possible forms of the CLR, Anderson–Rubin (AR) and Lagrange Multiplier (LM) confidence sets are given. I show that the CLR confidence sets have nearly the shortest expected arc length among similar symmetric invariant confidence sets in a circular model. I also prove that the CLR confidence set is asymptotically valid in a model with non-normal errors.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike 3.0
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1016/j.jeconom.2009.12.003
