Uniform confidence bands for functions estimated nonparametrically with instrumental variables

A-Tier
Journal: Journal of Econometrics
Year: 2012
Volume: 168
Issue: 2
Pages: 175-188

Authors (2)

Horowitz, Joel L. (not in RePEc) Lee, Sokbae (Centre for Microdata Methods)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:econom:v:168:y:2012:i:2:p:175-188
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25