Davidson, Russell; MacKinnon, James G. - In: Econometric Reviews 33 (2014) 5-6, pp. 651-675
We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and the others are based on inverting <italic>t</italic> statistics or the...