Robust confidence sets in the presence of weak instruments

Anna Mikusheva

Journal of Econometrics, 2010, vol. 157, issue 2, 236-247

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.

Keywords: Weak; instruments; Confidence; set; Uniform; asymptotics (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (39)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:2:p:236-247

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