Robust Instrumental Variables: Sharp Rates and Inference under Adversarial Contamination

Anders Bredahl Kock, David Preinerstorfer

arXiv 31 Jul 2026 · Econometrics

arXiv:2607.29532 · PDF · Extracted main text

Abstract

Because 2SLS is built from sample averages, a small number of observations can have a disproportionate effect on estimates and inference. We introduce W-2SLS, a simple drop-in robustification that replaces these averages by quantile-winsorized means. We analyze W-2SLS under adversarial contamination, which permits both the identities and the reported values of the contaminated observations to depend on the realized clean sample and therefore accommodates targeted or strategic manipulation. Under finite $m$-th moments, W-2SLS attains the minimax-sharp rate $η_{n}^{1-\frac1m}+n^{-1/2}$, where $η_n$ is the fraction of observations that may be altered. Matching lower bounds identify the exact contamination thresholds for uniform consistency, root-$n$ estimation, and centered Gaussian inference with the same first-order law as clean-sample 2SLS. When $\sqrt{n}η_{n}^{1-\frac1m}\to 0$ robustness is first-order free. We also construct feasible heteroskedasticity-robust inference and a winsorized Anderson--Rubin test valid under weak identification and adversarial contamination. Finally, even without contamination, ordinary 2SLS can have poor uniform finite-sample concentration, whereas W-2SLS admits confidence-calibrated sub-Gaussian deviation guarantees.

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