Cattaneo, Mathias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2007
This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild...