Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Joel L. Horowitz () and Sokbae (Simon) Lee
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Joel L. Horowitz: Institute for Fiscal Studies and Northwestern University

No CWP19/10, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally distributed. The asymptotic normality result holds in both mildly and severely ill-posed cases. We present an interpolation method to obtain a uniform confidence band and show that the bootstrap can be used to obtain the required critical values. Monte Carlo experiments illustrate the finite-sample performance of the uniform confidence band.

This paper is a revised version of CWP18/09.

Date: 2010-07-11
New Economics Papers: this item is included in nep-ecm
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http://cemmap.ifs.org.uk/wps/cwp1910.pdf (application/pdf)

Related works:
Journal Article: Uniform confidence bands for functions estimated nonparametrically with instrumental variables (2012)
Working Paper: Uniform confidence bands for functions estimated nonparametrically with instrumental variables (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:19/10

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