EconPapers    
Economics at your fingertips  
 

Non-asymptotic inference in instrumental variables estimation

Joel L. Horowitz ()
Additional contact information
Joel L. Horowitz: Institute for Fiscal Studies and Northwestern University

No CWP46/17, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper presents a simple non-asymptotic method for carrying out inference in IV models. The method is a non-Studentized version of the Anderson-Rubin test but is motivated and analyzed differently. In contrast to the conventional Anderson-Rubin test, the method proposed here does not require restrictive distributional assumptions, linearity of the estimated model, or simultaneous equations. Nor does it require knowledge of whether the instruments are strong or weak. It does not require testing or estimating the strength of the instruments. The method can be applied to quantile IV models that may be nonlinear and can be used to test a parametric IV model against a nonparametric alternative. The results presented here hold in finite samples, regardless of the strength of the instruments.

Keywords: Weak instruments; normal approximation; finite-sample bounds (search for similar items in EconPapers)
JEL-codes: C21 C26 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2017-10-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.ifs.org.uk/uploads/CW461717.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:46/17

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2019-11-11
Handle: RePEc:ifs:cemmap:46/17