Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Joel L. Horowitz*, Sokbae Lee

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

23 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)175-188
Number of pages14
JournalJournal of Econometrics
Volume168
Issue number2
DOIs
StatePublished - Jun 2012

Keywords

  • Bootstrap
  • Instrumental variables
  • Sieve estimator
  • Uniform confidence band

ASJC Scopus subject areas

  • Economics and Econometrics

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