arXiv 22 Jun 2025 · Econometrics
arXiv:2506.18001 · PDF · DOI · OpenAlex · Extracted main text
Instrumental variable (IV) regression is recognized as one of the five core methods for causal inference, as identified by Angrist and Pischke (2008). This paper compares two leading approaches to inference under weak identification for just-identified IV models: the classical Anderson-Rubin (AR) procedure and the recently popular tF method proposed by Lee et al. (2022). Using replication data from the American Economic Review (AER) and Monte Carlo simulation experiments, we evaluate the two procedures in terms of statistical significance testing and confidence interval (CI) length. Empirically, we find that the AR procedure typically offers higher power and yields shorter CIs than the tF method. Nonetheless, as noted by Lee et al. (2022), tF has a theoretical advantage in terms of expected CI length. Our findings suggest that the two procedures may be viewed as complementary tools in empirical applications involving potentially weak instruments.
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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 | Lee, D. S., McCrary, J., Moreira, M. J., and Porter, J (2022) Valid t-ratio inference for iv | 0.956 | 8 | 5 | 88% |
| 2 | Angrist, J. D. and Pischke, J.-S (2008) Mostly harmless econometrics: An empiricist's companion | 0.644 | 2 | 2 | 100% |
| 3 | Andrews, I., Stock, J. H., and Sun, L (2019) Weak instruments in instrumental variables regression: Theory and practice | 0.511 | 2 | 1 | 100% |
| 4 | Andrews, I (2016) Conditional linear combination tests for weakly identified models | 0.405 | 1 | 1 | 100% |
| 5 | Andrews, I. and Mikusheva, A (2016) Andrews-Mikusheva(2016)Conditional inference with a functional nuisance parameter | 0.405 | 1 | 1 | 100% |
| 6 | Dov\`, M.-S., Kock, A. B., and Mavroeidis, S (2024) A ridge-regularized jackknifed anderson-rubin test | 0.405 | 1 | 1 | 100% |
| 7 | Davidson, R. and MacKinnon, J. G (2008) Davidson-Mackinnon(2008)Bootstrap inference in a linear equation estimated by instrumental variables | 0.405 | 1 | 1 | 100% |
| 8 | Davidson, R. and MacKinnon, J. G (2010) Davidson-Mackinnon(2010)Wild bootstrap tests for IV regression | 0.405 | 1 | 1 | 100% |
| 9 | Davidson, R. and MacKinnon, J. G (2014) Davidson-Mackinnon(2014b)Bootstrap confidence sets with weak instruments | 0.405 | 1 | 1 | 100% |
| 10 | Dufour, J.-M (1997) Some impossibility theorems in econometrics, with applications to structural and dynamic models | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 55 scored citations.