Non-asymptotic inference in instrumental variables estimation
Joel L. Horowitz ()
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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
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:46/17
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