- Published
- 2022-09-29
- Venue
- American Economic Review, vol. 112, no. 10, pp. 3260-3290
- Cited by
- 330
- Open access
- No free copy found
- DOI
- 10.1257/aer.20211063
Abstract
In the single-IV model, researchers commonly rely on t-ratio-based inference, even though the literature has quantified its potentially severe large-sample distortions. Building on Stock and Yogo (2005), we introduce the tF critical value function, leading to a standard error adjustment that is a smooth function of the first-stage F-statistic. For one-quarter of specifications in 61 AER papers, corrected standard errors are at least 49 and 136 percent larger than conventional 2SLS standard errors at the 5 percent and 1 percent significance levels, respectively. tF confidence intervals have shorter expected length than those of Anderson and Rubin (1949), whenever both are bounded. (JEL C13, C26)
Cite this paper
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- APA 7
Lee, D. S., McCrary, J., Moreira, M. J., & Porter, J. (2022). Valid t-ratio Inference for IV. American Economic Review, 112(10), 3260–3290. https://doi.org/10.1257/aer.20211063
- MLA 9
Lee, David S., et al. "Valid t-ratio Inference for IV." American Economic Review, vol. 112, no. 10, 2022, pp. 3260–3290, https://doi.org/10.1257/aer.20211063.
- Chicago
Lee, David S., Justin McCrary, Marcelo J. Moreira, and Jack Porter. "Valid t-ratio Inference for IV." American Economic Review 112, no. 10 (2022): 3260–3290. https://doi.org/10.1257/aer.20211063.
- GOST
Lee D. S., McCrary J., Moreira M. J. [и др.] Valid t-ratio Inference for IV // American Economic Review. — 2022. — Vol. 112, № 10. — P. 3260–3290. — URL: https://doi.org/10.1257/aer.20211063
- BibTeX
@article{lee2022valid, title = {{Valid t-ratio Inference for IV}}, author = {David S. Lee and Justin McCrary and Marcelo J. Moreira and Jack Porter}, journal = {American Economic Review}, year = {2022}, volume = {112}, number = {10}, pages = {3260--3290}, doi = {10.1257/aer.20211063}, url = {https://doi.org/10.1257/aer.20211063} }- RIS
TY - JOUR AU - Lee, David S. AU - McCrary, Justin AU - Moreira, Marcelo J. AU - Porter, Jack TI - Valid t-ratio Inference for IV JO - American Economic Review VL - 112 IS - 10 SP - 3260 EP - 3290 PY - 2022 DA - 2022/09/29 DO - 10.1257/aer.20211063 UR - https://doi.org/10.1257/aer.20211063 ER -