Exact Inference for a Weak Instrument, a Small Sample, or Extreme Quantiles

31 Pages Posted: 23 May 2011

See all articles by Brigham R. Frandsen

Brigham R. Frandsen

Brigham Young University - Department of Economics

Date Written: May 18, 2011

Abstract

This paper describes a randomization-based inference procedure for the distribution or quantiles of potential outcomes for a binary treatment and instrument. The method imposes no parametric model for the treatment effect, and remains valid for small n, a weak instrument, or inference on tail quantiles, when conventional large-sample methods break down. The method is illustrated using simulations and data from a randomized trial of college student incentives and services.

Keywords: randomization inference, permutation inference, finite sample, instrumental variables, treatment effects

JEL Classification: C12, C14, C30

Suggested Citation

Frandsen, Brigham R., Exact Inference for a Weak Instrument, a Small Sample, or Extreme Quantiles (May 18, 2011). Available at SSRN: https://ssrn.com/abstract=1849124 or http://dx.doi.org/10.2139/ssrn.1849124

Brigham R. Frandsen (Contact Author)

Brigham Young University - Department of Economics ( email )

130 Faculty Office Bldg.
Provo, UT 84602-2363
United States

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