Tests and confidence sets with correct size when instruments are potentially weak

Anna Mikusheva and Brian P. Poi ()
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Anna Mikusheva: Harvard University
Brian P. Poi: StataCorp

Stata Journal, 2006, vol. 6, issue 3, pages 335-347

Abstract: We consider inference in the linear regression model with one endoge- nous variable and potentially weak instruments. We construct confidence sets for the coefficient on the endogenous variable by inverting the Anderson-Rubin, Lagrange multiplier, and conditional likelihood-ratio tests. Our confidence sets have correct coverage probabilities even when the instruments are weak. We propose a numerically simple algorithm for finding these confidence sets, and we present a Stata command that supersedes the one presented in Moreira and Poi (Stata Journal 3: 57–70). Copyright 2006 by StataCorp LP.

Keywords: condivreg; instrumental variables; weak instruments; confidence set; similar test (search for similar items in EconPapers)
Date: 2006
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Persistent link: http://EconPapers.repec.org/RePEc:tsj:stataj:v:6:y:2006:i:3:p:335-347

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