Weak-instrument-robust subvector inference in instrumental variables regression: A subvector Lagrange multiplier test and properties of subvector Anderson-Rubin confidence sets

Understand

We propose a weak-instrument-robust subvector Lagrange multiplier test for instrumental variables regression.

• We show that it is asymptotically size-correct under a technical condition or as the number of instruments grows to infinity.
• This is the first weak-instrument-robust subvector test for instrumental variables regression to recover the degrees of freedom of the commonly used non-weak-instrument-robust Wald test.
• Additionally, we provide a closed-form solution for subvector confidence sets obtained by inverting the subvector Anderson-Rubin test.