TY  - GEN
PB  - Centre for Microdata Methods and Practice (cemmap)
A1  - Horowitz, J.
A1  - Lee, S.
N2  - 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.
T3  - cemmap Working Papers
ID  - discovery18216
UR  - http://www.cemmap.ac.uk/publications.php?publication_id=4575
TI  - Uniform confidence bands for functions estimated nonparametrically with instrumental variables
CY  - London, UK
Y1  - 2009/07//
AV  - public
ER  -