The score confidence set for local average treatment effects is proved to take only six shapes, to match the Wald interval at strong instruments, and to stay valid when instruments are weak, while the DRML estimator fails.
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A note on the properties of the confidence set for the local average treatment effect obtained by inverting the score test
The score confidence set for local average treatment effects is proved to take only six shapes, to match the Wald interval at strong instruments, and to stay valid when instruments are weak, while the DRML estimator fails.