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 language | English (US) |
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Pages (from-to) | 175-188 |
Number of pages | 14 |
Journal | Journal of Econometrics |
Volume | 168 |
Issue number | 2 |
DOIs | |
State | Published - Jun 2012 |
Keywords
- Bootstrap
- Instrumental variables
- Sieve estimator
- Uniform confidence band
ASJC Scopus subject areas
- Economics and Econometrics