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As it turns out that the AR test is not robust to outliers, we show how to construct an outlier robust alternative\u2014the robust AR test. We investigate the robustness properties of the robust AR test and show that the robust AR statistic asymptotically follows a chi\u2010square distribution. The theoretical results are illustrated by a simulation study. Finally, we apply the robust AR test to three different case studies that are affected by different types of outliers.<\/jats:p>","DOI":"10.1002\/jae.3012","type":"journal-article","created":{"date-parts":[[2023,10,31]],"date-time":"2023-10-31T06:56:20Z","timestamp":1698735380000},"page":"86-106","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Outlier robust inference in the instrumental variable model with applications to causal effects"],"prefix":"10.1002","volume":"39","author":[{"given":"Jens","family":"Klooster","sequence":"first","affiliation":[{"name":"Department of Econometrics, Econometric Institute Erasmus University Rotterdam  Rotterdam The Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Mikhail","family":"Zhelonkin","sequence":"additional","affiliation":[{"name":"Department of Econometrics, Econometric Institute Erasmus University Rotterdam  Rotterdam The Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2023,10,30]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.104.7.2185"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/app.3.2.34"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177730090"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177730090"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468\u20100262.2006.00680.x"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjx023"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA16768"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev\u2010economics\u2010080218\u2010025643"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.3.3.92"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20210122"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev\u2010soc\u2010081309\u2010150141"},{"key":"e_1_2_9_13_1","doi-asserted-by":"publisher","DOI":"10.3982\/QE1930"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1995.10476536"},{"key":"e_1_2_9_15_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501753209004"},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1080\/00031305.1988.10475591"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/10618600.2019.1660180"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1257\/pol.4.3.118"},{"key":"e_1_2_9_19_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176346332"},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF00339936"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20160034"},{"key":"e_1_2_9_22_1","unstructured":"Croux C. 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