Valid t-Ratio Inference for IVt

• 成果类型: Article
• 署名作者: Lee, David s.; Mccrary, Justin; Moreira, Marcelo j.; Porter, Jack
• 署名单位: Princeton University; National Bureau of Economic Research; Columbia University; Getulio Vargas Foundation; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20211063
• 发表日期: 2022
• 页码: 3260-3290
• 关键词: instrumental variables regression; weak instruments; tests

摘要

In the single-IV model, researchers commonly rely on t-ratio-based inference, even though the literature has quantified its potentially severe large-sample distortions. Building on Stock and Yogo (2005), we introduce the tF critical value function, leading to a stan-dard error adjustment that is a smooth function of the first-stage F-statistic. For one-quarter of specifications in 61 AER papers, cor-rected standard errors are at least 49 and 136 percent larger than conventional 2SLS standard errors at the 5 percent and 1 percent significance levels, respectively. tF confidence intervals have shorter expected length than those of Anderson and Rubin (1949), whenever both are bounded. (JEL C13, C26)