Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models
工具变量与局部投影工具变量模型中偏误和检验尺寸扭曲的置信区间
In this article, we propose methods to construct confidence intervals for the bias of the two-stage least squares estimator, and the size distortion of the associated Wald test in instrumental variables models with heteroscedasticity and serial correlation. Importantly our framework covers the local projections—instrumental variable model as well. Unlike tests for weak instruments, whose distributions are nonstandard and depend on nuisance parameters that cannot be…