Confidence sets based on inverting Anderson-Rubin tests

DOI10.1111/ECTJ.12015MaRDI QIDQ5093230zbMATH OpenOpenAlexFDO

Authors Russell Davidson, James G. Mackinnon

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1111/ectj.12015

zbMATH Keywords

\(F\)-testAR testconfidence setlimited information maximum likelihoodoveridentifying restrictionsSargan testsimultaneous equationsweak instruments

Mathematics Subject Classification ID

Statistics (62-XX)

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(8)

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• Projection-based inference with particle swarm optimization
• Perturbed datasets methods for hypothesis testing and structure of corresponding confidence sets
• Bootstrap confidence sets with weak instruments
• OLS and IV estimation of regression models including endogenous interaction terms
• The polar confidence curve for a ratio
• Weak‐instrument robust tests in two‐sample summary‐data Mendelian randomization
• Robust confidence sets in the presence of weak instruments

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