Valid Confidence Intervals and Inference in the Presence of Weak Instruments

E Zivot, Richard Startz and Charles Nelson

Working Papers from University of Washington, Department of Economics

Abstract: We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals for a structural parameter perform poorly in that the probability they reject the null is far greater than their nominal size. We show that the preactice of "pre-testing" by looking at the significance of the fist-stage regression and then making inference based on the Wald statistic leads to extremely poor results when the instruments are very weak.

Keywords: STATISTICS (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1997
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Related works:
Journal Article: Valid Confidence Intervals and Inference in the Presence of Weak Instruments (1998)
Working Paper: Valid Confidence Intervals and Inference in the Presence of Weak Instruments (1997)
Working Paper: Valid Confidence Intervals and Inference in the Presence of Weak Instruments (1996)
Working Paper: Valid Confidence Intervals and Inference in the Presence of Weak Instruments (1996)
Working Paper: Valid Confidence Intervals and Inference in the Presence of Weak Instruments (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:udb:wpaper:97-17

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