Uniform confidence bands for functions estimated nonparametrically with instrumental variables

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

No CWP18/09, 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.

New Economics Papers: this item is included in nep-ecm
Date: 2009-07

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