A statistician's guide to weak-instrument-robust inference in instrumental variables regression with illustrations in Python

TL;DR

This paper reviews methods for robust inference in instrumental variables regression with weak instruments, introduces a Python software package for implementation, and illustrates key results through examples.

Contribution

It presents a comprehensive overview of weak-instrument-robust inference methods and introduces the ivmodels Python package for practical application.

Findings

Implementation of weak-instrument-robust methods in Python

Illustrations demonstrating the methods' effectiveness

Availability of software for practitioners

Abstract

We provide an overview of results relating to estimation and weak-instrument-robust inference in instrumental variables regression. Methods are implemented in the ivmodels software package for Python, which we use to illustrate results.