Abstract :
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 against the uncontrolled overrejection of the true
value of the parameters of interest but also reduces the conservativeness of the usual
method of projection proposed by Dufour and his coauthors (Dufour, 1997, Econometrica
65, 1365–1388; Dufour and Jasiak, 2001, International Economic Review
41, 815–843; Dufour and Taamouti, 2005, discussion paper; Dufour and Taamouti,
2005, Econometrica 73, 1351–1365; Dufour and Taamouti, 2007, Journal of Econometrics
139, 133–153).
