Robust confidence sets in the presence of weak instruments
MetadataShow full item record
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.
DepartmentMassachusetts Institute of Technology. Department of Economics
Journal of Econometrics
Mikusheva, Anna. “Robust confidence sets in the presence of weak instruments.” Journal of Econometrics 157.2 (2010): 236-247.
Author's final manuscript