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Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Authors: Joel L. Horowitz and Sokbae Lee
Date: 27 July 2009
Type: cemmap Working Paper, CWP18/09
DOI: 10.1920/wp.cem.2009.1809

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.

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Joel L. Horowitz and Sokbae Lee July 2010, Uniform confidence bands for functions estimated nonparametrically with instrumental variables, cemmap Working Paper, CWP19/10

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