Asymptotic Normality Of A Nonparametric Instrumental Variables Estimator
AbstractThis article gives conditions under which the nonparametric instrumental variables estimator of Hall and Horowitz ("Annals of Statistics" 33 (December 2005), 2904-2929) is asymptotically normally distributed. With sufficiently large samples, the asymptotic normality result can be used to form confidence intervals for the unknown function that is estimated by the Hall-Horowitz procedure. The article reports the results of a Monte Carlo investigation of the finite-sample coverage probabilities of the confidence intervals. Copyright 2007 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.
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Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 48 (2007)
Issue (Month): 4 (November)
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- Joel Horowitz, 2013. "Adaptive nonparametric instrumental variables estimation: empirical choice of the regularisation parameter," CeMMAP working papers CWP30/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Joel Horowitz & Sokbae 'Simon' Lee, 2009.
"Uniform confidence bands for functions estimated nonparametrically with instrumental variables,"
CeMMAP working papers
CWP18/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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- Santos, Andres, 2011. "Instrumental variable methods for recovering continuous linear functionals," Journal of Econometrics, Elsevier, vol. 161(2), pages 129-146, April.
- Joel Horowitz, 2013. "Ill-posed inverse problems in economics," CeMMAP working papers CWP37/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Demian Pouzo, 2013. "Sieve Quasi Likelihood Ratio Inference on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897, Cowles Foundation for Research in Economics, Yale University.
- Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
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