David S. Lee, Justin McCrary, Marcelo J. Moreira, Jack Porter
arXiv 10 Oct 2020 · Econometrics · publishedAmerican Economic Review (2022) · 312 citations (OpenAlex)
arXiv:2010.05058 · PDF · DOI · OpenAlex · Extracted main text
In the single IV model, current practice relies on the first-stage F exceeding some threshold (e.g., 10) as a criterion for trusting t-ratio inferences, even though this yields an anti-conservative test. We show that a true 5 percent test instead requires an F greater than 104.7. Maintaining 10 as a threshold requires replacing the critical value 1.96 with 3.43. We re-examine 57 AER papers and find that corrected inference causes half of the initially presumed statistically significant results to be insignificant. We introduce a more powerful test, the tF procedure, which provides F-dependent adjusted t-ratio critical values.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | T. W. Anderson \ Herman Rubin (1949) Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations | 1.000 | 10 | 4 | 100% |
| 2 | James H. Stock \ Motohiro Yogo (2005) Testing for Weak Instruments in Linear IV Regression | 1.000 | 10 | 3 | 100% |
| 3 | Isaiah Andrews, James H. Stock \ Liyang Sun (2019) Weak Instruments in Instrumental Variables Regression: Theory and Practice | 1.000 | 8 | 3 | 100% |
| 4 | Douglas Staiger \ James H. Stock (1997) Instrumental Variables Regression with Weak Instruments | 1.000 | 5 | 3 | 100% |
| 5 | Jean-Marie Dufour (1997) Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models | 0.928 | 4 | 4 | 100% |
| 6 | Donald W. K. Andrews, Marcelo J. Moreira \ James H. Stock (2006) Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression | 0.843 | 3 | 3 | 100% |
| 7 | Marcelo J. Moreira (2002) Tests with Correct Size in the Simultaneous Equations Model self | 0.843 | 3 | 3 | 100% |
| 8 | Humberto Moreira \ Marcelo J. Moreira (2019) Optimal Two-Sided Tests for Instrumental Variables Regression with Heteroskedastic and Autocorrelated Errors | 0.843 | 3 | 3 | 100% |
| 9 | Marcelo J. Moreira (2009) Tests with Correct Size when Instruments Can Be Arbitrarily Weak self | 0.644 | 2 | 2 | 100% |
| 10 | Joshua Angrist \ Jorn-Steffen Pischke (2009) Most Harmless Econometrics: An Empiricist's Companion | 0.405 | 1 | 1 | 100% |
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