Resistant Inference in Instrumental Variable Models
工具变量模型中的抗污染推断
The classical tests in the instrumental variable model can behave arbitrarily if the data is contaminated. For instance, one outlying observation can be enough to change the outcome of a test. We develop a framework to construct testing procedures that are robust to weak instruments, outliers and heavy-tailed errors in the instrumental variable model. The framework is constructed upon M-estimators. By deriving the influence functions of the classical weak instrument robust…