Before revision:  We argue that the confidence intervals based on nonparametric local linear regression that are commonly reported in empirical FRD studies can have poor finite sample coverage properties for reasons related to their general construction based on the delta method, and to how they account for smoothing bias. We therefore propose new confidence sets , which are based on an Anderson-Rubin-type construction .
After revision:  We argue that the confidence intervals based on nonparametric local linear regression that are commonly reported in empirical fuzzy regression discontinuity studies are justified by theoretical arguments which assume that the running variable is continuously distributed with positive density around the cutoff, and that the jump in treatment probabilities at the cutoff is "large". In this paper, we provide new confidence sets , which are based on an Anderson-Rubin-type construction .