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.
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
Working Paper details
- DOI
- 10.1920/wp.cem.2009.1809
- Publisher
- The IFS
Suggested citation
Horowitz, J and Lee, S. (2009). Uniform confidence bands for functions estimated nonparametrically with instrumental variables. London: The IFS. Available at: https://ifs.org.uk/publications/uniform-confidence-bands-functions-estimated-nonparametrically-instrumental-0 (accessed: 19 May 2024).
Related documents
More from IFS
Understand this issue
Where next for the state pension?
13 December 2023
Social mobility and wealth
12 December 2023
Autumn Statement 2023: IFS analysis
23 November 2023
Policy analysis
The past and future of UK health spending
14 May 2024
Recent trends in and the outlook for health-related benefits
19 April 2024
Progression of nurses within the NHS
12 April 2024
Academic research
Keeping the peace whilst getting your way: Information, persuasion and intimate partner violence
17 May 2024
The role of hospital networks in individual mortality
13 May 2024
Forced displacement, mental health, and child development: Evidence from Rohingya refugees
10 May 2024