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ipack
2018 Mar 21
0
Confidence intervals for the Instrumental Variable estimators of TWO causal effects
...Normal approximation. But Wald-type confidence
interval are known to have poor coverage properties, and therefore I would
like to switch to more robust confidence intervals, like those provided by
inverting the Anderson-Rubin (AR) or the Conditional Ratio Likelihood
(CLR) tests.
The library "ivpack" has the command "anderson.rubin.ci" which implements AR,
and the library "ivmodel" has the command "confint.ivmodel" which
provides a rich choice of
alternative confidence intervals (OLS, Fuller, LIML, TSLS, AR, CLR).
But both assume that there is only ONE endo...