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Tests and confidence sets with correct size when instruments are potentially weak

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Author Info
Anna Mikusheva (Harvard University)
Brian P. Poi () (StataCorp)
Abstract

We consider inference in the linear regression model with one endoge- nous variable and potentially weak instruments. We construct confidence sets for the coefficient on the endogenous variable by inverting the Anderson-Rubin, Lagrange multiplier, and conditional likelihood-ratio tests. Our confidence sets have correct coverage probabilities even when the instruments are weak. We propose a numerically simple algorithm for finding these confidence sets, and we present a Stata command that supersedes the one presented in Moreira and Poi (Stata Journal 3: 57–70). Copyright 2006 by StataCorp LP.

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Publisher Info
Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 6 (2006)
Issue (Month): 3 (September)
Pages: 335-347
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Handle: RePEc:tsj:stataj:v:6:y:2006:i:3:p:335-347

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Related research
Keywords: condivreg; instrumental variables; weak instruments; confidence set; similar test;

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Austin Nichols, 2007. "Review of An Introduction to Modern Econometrics Using Stata by Baum," Stata Journal, StataCorp LP, vol. 7(1), pages 131-136, February. [Downloadable!]
  2. Christopher F Baum, 2006. "An Introduction to Modern Econometrics using Stata," Stata Press books, StataCorp LP, number imeus. [Downloadable!]
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This page was last updated on 2009-12-20.

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