Before revision:  We therefore propose new confidence sets , which are based on an Anderson-Rubin-type construction . These confidence sets are bias-aware, in the sense that they explicitly take into account the exact smoothing bias of the local linear estimators on which they are based .
After revision:  We therefore propose new confidence sets (CSs) that do not rely on such assumptions. Their construction is analogous to that of Anderson-Rubin CSs in the literature on instrumental variable models. Our CSs are based on local linear regression, and are bias-aware, in the sense that they explicitly take into account the exact smoothing bias of the local linear estimators on which they are based .