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Uniform confidence bands for functions estimated nonparametrically with instrumental variables

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Author Info
Joel Horowitz () (Institute for Fiscal Studies and Northwestern University)
Sokbae 'Simon' Lee () (Institute for Fiscal Studies and University College London)

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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 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.

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File URL: http://cemmap.ifs.org.uk/wps/cwp1809.pdf
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Publisher Info
Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP18/09.

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Date of creation: Jul 2009
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Handle: RePEc:ifs:cemmap:18/09

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This page was last updated on 2009-11-27.

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