Valid t-ratio Inference for IV
Valid t-ratio Inference for IV
复制标题
IV 的有效 t 比率推断
DOI：
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发表时间：
2021
期刊：
影响因子：
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通讯作者：
J. Porter
中科院分区：
文献类型：
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作者：
David L. Lee;J. Mccrary;Marcelo J. Moreira;J. Porter
在单IV模型中，研究人员通常依赖于基于t比率的推断，即使文献已经量化了其潜在的严重大样本失真。在Stock和Yogo（2005）的基础上，我们引入了tF临界值函数，导致标准误差调整是第一阶段F统计量的平滑函数。对于61篇AER论文中四分之一的规格，在5%和1%的显著性水平下，校正的标准误差分别比传统的2SLS标准误差大至少49%和136%。tF置信区间比安德森和鲁宾（1949）的置信区间有更短的期望长度，只要两者都有界。(JEL C13、C26）
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)
DOI：
10.1146/annurev-economics-080218-025643
发表时间：
2019-01-01
期刊：
ANNUAL REVIEW OF ECONOMICS, VOL 11, 2019
影响因子：
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作者：
Andrews, Isaiah;Stock, James H.;Sun, Liyang
通讯作者：
Sun, Liyang