UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

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. Green open access

[thumbnail of 18216.pdf]
Preview
PDF
18216.pdf

Download (380kB)

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
Downloads since deposit
167Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item