Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 457-485
This paper considers tests and confidence sets (CSs) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability...