Robust confidence sets in the presence of weak instruments
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 alg...
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| Format: | Article |
| Language: | en_US |
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Elsevier
2011
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| Online Access: | http://hdl.handle.net/1721.1/61662 https://orcid.org/0000-0002-0724-5428 |