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Conformal Prediction for Nonparametric Instrumental Regression

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  • Masahiro Kato

Abstract

We propose a method for constructing distribution-free prediction intervals in nonparametric instrumental variable regression (NPIV), with finite-sample coverage guarantees. Building on the conditional guarantee framework in conformal inference, we reformulate conditional coverage as marginal coverage over a class of IV shifts $\mathcal{F}$. Our method can be combined with any NPIV estimator, including sieve 2SLS and other machine-learning-based NPIV methods such as neural networks minimax approaches. Our theoretical analysis establishes distribution-free, finite-sample coverage over a practitioner-chosen class of IV shifts.

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  • Masahiro Kato, 2026. "Conformal Prediction for Nonparametric Instrumental Regression," Papers 2603.25509, arXiv.org.
    • Handle: RePEc:arx:papers:2603.25509
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    1. Rouse, Cecilia Elena, 1995. "Democratization or Diversion? The Effect of Community Colleges on Educational Attainment," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(2), pages 217-224, April.
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