Arbeitspapier

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

to connected objects

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.

Language: Englisch

Bibliographic citation: Series: cemmap working paper ; No. CWP18/09

Classification: Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General

Subject: bootstrap
instrumental variables
sieve estimator
uniform confidence band
Schätztheorie
Bootstrap-Verfahren
Nichtparametrisches Verfahren

Event: Geistige Schöpfung

(who): Horowitz, Joel L.
Lee, Sokbae

Event: Veröffentlichung

(who): Centre for Microdata Methods and Practice (cemmap)

(where): London

(when): 2009

DOI: doi:10.1920/wp.cem.2009.1809

Handle: http://hdl.handle.net/10419/64687

Last update: 20.09.2024, 8:24 AM CEST

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Show original at data provider

Object type

Arbeitspapier

Associated

Horowitz, Joel L.
Lee, Sokbae
Centre for Microdata Methods and Practice (cemmap)

Time of origin

2009

Other Objects (12)

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Monografie

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Journal article | Zeitschriftenartikel

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Arbeitspapier

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Identification of a competing risks model with unknown transformations of latent failure times

Arbeitspapier

Identification of a competing risks model with unknown transformations of latent failure times

Estimating panel data duration models with censored data

Arbeitspapier

Estimating panel data duration models with censored data

Endogeneity quantile regression models: A control function approach

Arbeitspapier

Endogeneity quantile regression models: A control function approach

Nonparametric instrumental variables estimation of a quantile regression model

Arbeitspapier

Nonparametric instrumental variables estimation of a quantile regression model

Exact computation of GMM estimators for instrumental variable quantile regression models

Arbeitspapier

Exact computation of GMM estimators for instrumental variable quantile regression models

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Arbeitspapier

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Arbeitspapier

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality

Arbeitspapier

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality

Characterization of the asymptotic distribution of semiparametric M-estimators

Arbeitspapier

Characterization of the asymptotic distribution of semiparametric M-estimators

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Monografie

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Journal article | Zeitschriftenartikel

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Arbeitspapier

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Identification of a competing risks model with unknown transformations of latent failure times

Arbeitspapier

Identification of a competing risks model with unknown transformations of latent failure times

Estimating panel data duration models with censored data

Arbeitspapier

Estimating panel data duration models with censored data

Endogeneity quantile regression models: A control function approach

Arbeitspapier

Endogeneity quantile regression models: A control function approach

Nonparametric instrumental variables estimation of a quantile regression model

Arbeitspapier

Nonparametric instrumental variables estimation of a quantile regression model

Exact computation of GMM estimators for instrumental variable quantile regression models

Arbeitspapier

Exact computation of GMM estimators for instrumental variable quantile regression models

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Arbeitspapier

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Arbeitspapier

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality

Arbeitspapier

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality

Characterization of the asymptotic distribution of semiparametric M-estimators

Arbeitspapier

Characterization of the asymptotic distribution of semiparametric M-estimators

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Monografie

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Journal article | Zeitschriftenartikel

Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Arbeitspapier

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Identification of a competing risks model with unknown transformations of latent failure times

Arbeitspapier

Identification of a competing risks model with unknown transformations of latent failure times

Estimating panel data duration models with censored data

Arbeitspapier

Estimating panel data duration models with censored data

Endogeneity quantile regression models: A control function approach

Arbeitspapier

Endogeneity quantile regression models: A control function approach

Nonparametric instrumental variables estimation of a quantile regression model

Arbeitspapier

Nonparametric instrumental variables estimation of a quantile regression model

Exact computation of GMM estimators for instrumental variable quantile regression models

Arbeitspapier

Exact computation of GMM estimators for instrumental variable quantile regression models

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Arbeitspapier

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Arbeitspapier

Inference in a class of optimization problems: Confidence regions and finite sample bounds on errors in coverage probabilities

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality

Arbeitspapier

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality

Characterization of the asymptotic distribution of semiparametric M-estimators

Arbeitspapier

Characterization of the asymptotic distribution of semiparametric M-estimators

Cultural heritage institutions wishing to register will find more information here.

Fields marked * need to be filled in.

Username*

Please enter your username

Email*

Please enter your email address

Please do not fill this field

First name

Last name

Password*

Please enter your password

Confirm password*

Please enter the same password

I have read the terms of use and the privacy policy for the collection of personal data and accept them. *

This field is required.

I would like to subscribe to the newsletter of the Deutsche Digitale Bibliothek. See newsletter subscription info.

Account created

Your "My DDB" account has been successfully created. Before you can log in to your account, you must click the confirmation link in the message we just sent to the email address you provided.