Confidence Sets Based On Inverting Anderson-rubin Tests

James MacKinnon and Russell Davidson

No 1257, Working Paper from Economics Department, Queen's University

Abstract: Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous equations model. One way toobtain a confidence set for this coefficient is to invert the Anderson-Rubin test. The "AR confidence sets" that result have correct coverage under classical assumptions. However, AR confidence sets also have many undesirable properties. It is well known that they can be unbounded when the instruments are weak. But, even when they are bounded, their length may be very misleading, and their coverage conditional onquantities that the investigator can observe, notably the Sargan statistic for over-identifying restrictions, can be far from correct. Asimilar property manifests itself, for similar reasons, when a confidence set for a single parameter is based on inverting an F test for two or more parameters.

Keywords: weak instruments; confidence interval; instrumental variables; LIML; Sargan test; F test; overidentifying restrictions (search for similar items in EconPapers)
JEL-codes: C15 C26 C36 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2011-11
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1257.pdf First version 2011 (application/pdf)

Related works:
Journal Article: Confidence sets based on inverting Anderson–Rubin tests (2014)
Working Paper: Confidence Sets Based on Inverting Anderson-Rubin Tests (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1257

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().