Robust confidence sets in the presence of weak instruments
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.
Year of publication: |
2010
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Authors: | Mikusheva, Anna |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 157.2010, 2, p. 236-247
|
Publisher: |
Elsevier |
Keywords: | Weak instruments Confidence set Uniform asymptotics |
Saved in:
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