| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29124 |
| 来源ID | Working Paper 29124 |
| Valid t-ratio Inference for IV | |
| David S. Lee; Justin McCrary; Marcelo J. Moreira; Jack R. Porter | |
| 发表日期 | 2021-08-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 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 standard error adjustment that is a smooth function of the first-stage F-statistic. For one-quarter of specifications in 61 AER papers, corrected 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. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w29124 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586798 |
| 推荐引用方式 GB/T 7714 | David S. Lee,Justin McCrary,Marcelo J. Moreira,et al. Valid t-ratio Inference for IV. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29124.pdf（1070KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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