Chaudhuri, Saraswata; Richardson, Thomas; Robins, James; … - In: Econometric Theory 26 (2010) 06, pp. 1820-1837
In this paper we introduce a new method of projection-type inference and describe it in the context of two stage least squares–based split-sample inference on subsets of structural coefficients in a linear instrumental variables regression model. The use of the new method not only guards...