Arbeitspapier
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP18/09
- Klassifikation
-
Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
- Thema
-
bootstrap
instrumental variables
sieve estimator
uniform confidence band
Schätztheorie
Bootstrap-Verfahren
Nichtparametrisches Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Horowitz, Joel L.
Lee, Sokbae
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2009
- DOI
-
doi:10.1920/wp.cem.2009.1809
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:24 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Horowitz, Joel L.
- Lee, Sokbae
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2009
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