Horowitz, J.;
Lee, S.;
(2009)
Uniform confidence bands for functions estimated nonparametrically with instrumental variables.
(cemmap Working Papers
CWP18/).
Centre for Microdata Methods and Practice (cemmap): London, UK.
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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.
| Type: | Working / discussion paper |
|---|---|
| Title: | Uniform confidence bands for functions estimated nonparametrically with instrumental variables |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | http://www.cemmap.ac.uk/publications.php?publicati... |
| Language: | English |
| UCL classification: | UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/18216 |
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