Tests and confidence sets with correct size when instruments are potentially weak
Anna Mikusheva
Department of Economics
Harvard University
Boston, MA
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Brian P. Poi
StataCorp
College Station, TX
bpoi@stata.com
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Abstract. We consider inference in the linear regression model with one endogenous
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).
View all articles by these authors:
Anna Mikusheva, Brian P. Poi
View all articles with these keywords:
condivreg, instrumental variables, weak instruments, confidence set, similar test
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