We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals perform poorly in that the probability they reject the null is far greater than their nominal size. In the worst case, Wald-based confidence intervals...

As a contribution toward the ongoing discussion about the use and mis-use of p-values, numerical examples are presented demonstrating that a p-value can, as a practical matter, give you a really different answer than the one that you want.

It is now well known that standard asymptotic inference techniques for instrumental variable estimation perform very poorly in the presence of weak instruments. Specifically, standard asymptotic techniques give spuriously small standard errors, leading investigators to accept apparently tight...