English

Robust Instrumental Variables: Sharp Rates and Inference under Adversarial Contamination

Econometrics 2026-07-31 v1 Statistics Theory

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 mm-th moments, W-2SLS attains the minimax-sharp rate ηn11m+n1/2\eta_{n}^{1-\frac1m}+n^{-1/2}, where ηn\eta_n is the fraction of observations that may be altered. Matching lower bounds identify the exact contamination thresholds for uniform consistency, root-nn estimation, and centered Gaussian inference with the same first-order law as clean-sample 2SLS. When nηn11m0\sqrt{n}\eta_{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.

Cite

@article{arxiv.2607.29532,
  title  = {Robust Instrumental Variables: Sharp Rates and Inference under Adversarial Contamination},
  author = {Anders Bredahl Kock and David Preinerstorfer},
  journal= {arXiv preprint arXiv:2607.29532},
  year   = {2026}
}