• Media type: E-Book
  • Title: Valid t-ratio Inference for IV
  • Contributor: Lee, David S. [Author]; McCrary, Justin [Author]; Moreira, Marcelo J. [Author]; Porter, Jack [Author]
  • Corporation: National Bureau of Economic Research
  • Published: Cambridge, Mass: National Bureau of Economic Research, 2021
  • Published in: NBER working paper series ; no. w29124
  • Extent: 1 Online-Ressource; illustrations (black and white)
  • Language: English
  • DOI: 10.3386/w29124
  • Identifier:
  • Keywords: IV-Schätzung ; Schätztheorie ; Arbeitspapier ; Graue Literatur
  • Reproduction note: Hardcopy version available to institutional subscribers
  • Origination:
  • University thesis:
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    Mode of access: World Wide Web
  • Description: 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 the approach for correcting inference of Stock and Yogo (2005), we introduce the tF critical value function, leading to a minimized standard error adjustment factor that is a smooth function of the first-stage F-statistic. Applying the correction to a sample of 61 AER papers leads to a 25 percent increase in standard errors, on average. tF confidence intervals have shorter expected length than those of Anderson and Rubin (1949), whenever both are bounded intervals
  • Access State: Open Access