Robust Two-Step Confidence Sets, and the Trouble with the First Stage F-Statistic
When weak identification is a concern researchers frequently calculate confidence sets in two steps, first assessing the strength of identification and then, on the basis of this initial assessment, deciding whether to use an identification-robust confidence set. Unfortunately, two-step procedures o...
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| Format: | Working Paper |
| Language: | en_US |
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2014
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| Online Access: | http://hdl.handle.net/1721.1/89188 |