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Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Authors: Joel L. Horowitz and Sokbae Lee
Date: 30 June 2012
Type: Journal Article, Journal of Econometrics, Vol. 168, No. 2, pp. 175--188
DOI: 10.1016/j.jeconom.2011.12.001

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.

Previous version:
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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