Uniform confidence bands for nonparametric errors-in-variables regression

A-Tier
Journal: Journal of Econometrics
Year: 2019
Volume: 213
Issue: 2
Pages: 516-555

Authors (2)

Kato, Kengo (not in RePEc) Sasaki, Yuya (Vanderbilt University)

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 develops a method to construct uniform confidence bands for a nonparametric regression function where a predictor variable is subject to a measurement error. We allow for the distribution of the measurement error to be unknown, but assume the availability of validation data or repeated measurements on the latent predictor variable. The proposed confidence band builds on the deconvolution kernel estimation and a novel application of the multiplier bootstrap method. We establish asymptotic validity of the proposed confidence band. To our knowledge, this is the first paper to derive asymptotically valid uniform confidence bands for nonparametric errors-in-variables regression.

Technical Details

RePEc Handle
repec:eee:econom:v:213:y:2019:i:2:p:516-555
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29