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.
Authors
Research Fellow Columbia University
Sokbae is an IFS Research Fellow and a Professor at Columbia University, with an interest in Econometrics, Applied Microeconomics and Statistics.
Northwestern University
Journal article details
- DOI
- 10.1016/j.jeconom.2011.12.001
- Publisher
- Elsevier
- Issue
- Volume 168, Issue 2, June 2012
Suggested citation
Horowitz, J and Lee, S. (2012). 'Uniform confidence bands for functions estimated nonparametrically with instrumental variables' 168(2/2012)
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