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Title:Uniform confidence bands for functions estimated nonparametrically with instrumental variables PDF Logo
Authors:Horowitz, Joel L.
Lee, Sokbae
Issue Date:2010
Series/Report no.:cemmap working paper CWP19/10
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 mental variables estimator is pointwise asymptotically normally 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.
Subjects:bootstrap
instrumental variables
sieve estimator
uniform confidence band
JEL:C13
C14
Persistent Identifier of the first edition:doi:10.1920/wp.cem.2010.1910
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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