Improved Inference for the Instrumental Variable Estimator by Richard Startz

@inproceedings{Nelson1999ImprovedIF,
  title={Improved Inference for the Instrumental Variable Estimator by Richard Startz},
  author={Charles R. Nelson and Eric Zivot},
  year={1999}
}
It is now well known that standard asymptotic inference techniques for instrumental variable estimation perform very poorly in the presence of weak instruments. Specifically, standard asymptotic techniques give spuriously small standard errors, leading investigators to accept apparently tight confidence regions which unfortunately may be very far from the true parameter of interest. We present an improved technique for inference on structural parameters based on reduced form estimates. The “ S… CONTINUE READING