In this paper we design two split-sample score tests for subsets of structural coefficients in a linear Instrumental Variables (IV) regression. Sample splitting serves two purposes - 1) validity of the resultant tests does not depend on the identifiability of the coefficients being tested and 2)...

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the explanatory endogenous variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...

Projection-based methods of inference on subsets of parameters are useful for obtaining tests that do not over-reject the true parameter values. However, they are also often criticized for being conservative. We show that the usual method of projection can be modified to obtain tests that are as...