Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64681
Authors: 
Horowitz, Joel L.
Lee, Sokbae
Year of Publication: 
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: 
Document Type: 
Working Paper

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