ASYMPTOTIC NORMALITY OF A NONPARAMETRIC INSTRUMENTAL VARIABLES ESTIMATOR

Joel L. Horowitz

International Economic Review, 2007, vol. 48, issue 4, 1329-1349

Abstract: This article gives conditions under which the nonparametric instrumental variables estimator of Hall and Horowitz ("Annals of Statistics" 33 (December 2005), 2904-2929) is asymptotically normally distributed. With sufficiently large samples, the asymptotic normality result can be used to form confidence intervals for the unknown function that is estimated by the Hall-Horowitz procedure. The article reports the results of a Monte Carlo investigation of the finite-sample coverage probabilities of the confidence intervals. Copyright 2007 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.

Date: 2007
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