Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096920 | Journal of Econometrics | 2010 | 12 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Anna Mikusheva,