Chen, Xiaohong; Christensen, Timothy - Cowles Foundation for Research in Economics, Yale University - 2013
nonparametrically using instrumental variables. First, we derive the minimax optimal sup-norm convergence rates for nonparametric … simple sieve NPIV estimator can attain the optimal sup-norm rates for h_0 and its derivatives when h_0 is approximated via a … spline or wavelet sieve. Our optimal sup-norm rates surprisingly coincide with the optimal L^2-norm rates for severely ill …