Related papers: Weak-instrument-robust subvector inference in inst…

We study the wild bootstrap inference for instrumental variable regressions in the framework of a small number of large clusters in which the number of clusters is viewed as fixed and the number of observations for each cluster diverges to…

Empirical instrumental variables (IV) studies often report separate results based on low-dimensional instruments and many base instruments. This paper proposes a combination test that integrates these commonly reported statistics. The test…

Inference of instrumental variable regression models with many weak instruments attracts many attentions recently. To extend the classical Anderson-Rubin test to high-dimensional setting, many procedures adopt ridge-regularization. However,…

We study the gradient wild bootstrap-based inference for instrumental variable quantile regressions in the framework of a small number of large clusters in which the number of clusters is viewed as fixed, and the number of observations for…

Linear instrumental variable regressions are widely used to estimate causal effects. Many instruments arise from the use of ``technical'' instruments and more recently from the empirical strategy of ``judge design''. This paper surveys and…

We develop a concept of weak identification in linear IV models in which the number of instruments can grow at the same rate or slower than the sample size. We propose a jackknifed version of the classical weak identification-robust…

This paper develops permutation versions of identification-robust tests in linear instrumental variables (IV) regression. Unlike the existing randomization and rank-based tests in which independence between the instruments and the error…

We propose a weak-identification-robust test for linear instrumental variable (IV) regressions with high-dimensional instruments, whose number is allowed to exceed the sample size. In addition, our test is robust to general error…

This paper considers inference in a linear instrumental variable regression model with many potentially weak instruments, in the presence of heterogeneous treatment effects. I first show that existing test procedures, including those that…

Weak-identification-robust tests for instrumental variable (IV) regressions are typically developed separately depending on whether the number of IVs is treated as fixed or increasing with the sample size, forcing researchers to make a…

We develop new methods for constructing confidence sets and intervals in linear instrumental variables (IV) models based on tests that remain valid under weak identification and under heteroskedastic, autocorrelated, or clustered errors. In…

We propose and implement an approach to inference in linear instrumental variables models which is simultaneously robust and computationally tractable. Inference is based on self-normalization of sample moment conditions, and allows for…

We study the properties of the score confidence set for the local average treatment effect in non and semiparametric instrumental variable models. This confidence set is constructed by inverting a score test based on an estimate of the…

Mendelian randomization (MR) has been a popular method in genetic epidemiology to estimate the effect of an exposure on an outcome using genetic variants as instrumental variables (IV), with two-sample summary-data MR being the most…

We provide an overview of results relating to estimation and weak-instrument-robust inference in instrumental variables regression. Methods are implemented in the ivmodels software package for Python, which we use to illustrate results.

Instrumental variable methods are among the most commonly used causal inference approaches to deal with unmeasured confounders in observational studies. The presence of invalid instruments is the primary concern for practical applications,…

This paper presents a simple method for carrying out inference in a wide variety of possibly nonlinear IV models under weak assumptions. The method is non-asymptotic in the sense that it provides a finite sample bound on the difference…

Consider the problem of estimating the local average treatment effect with an instrument variable, where the instrument unconfoundedness holds after adjusting for a set of measured covariates. Several unknown functions of the covariates…

Instrumental variables have been widely used to estimate the causal effect of a treatment on an outcome. Existing confidence intervals for causal effects based on instrumental variables assume that all of the putative instrumental variables…

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…