Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Joel L. Horowitz and Sokbae (Simon) Lee

Journal of Econometrics, 2012, vol. 168, issue 2, 175-188

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 methods 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.

Keywords: Bootstrap; Instrumental variables; Sieve estimator; Uniform confidence band (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407611002739
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Uniform confidence bands for functions estimated nonparametrically with instrumental variables (2010)
Working Paper: Uniform confidence bands for functions estimated nonparametrically with instrumental variables (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:168:y:2012:i:2:p:175-188

DOI: 10.1016/j.jeconom.2011.12.001

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().