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Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Horowitz, Joel; Lee, Sokbae - 2010

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 mental variables estimator is pointwise asymptotically...

Persistent link: https://www.econbiz.de/10003990115

Quantile regression with censoring and endogeneity

Chernozhukov, Victor; Fernández-Val, Iván; Kowalski, … - 2011

for the control variable, such as a quantile or distribution regression model. The second stage estimates a nonadditive … the validity of resampling methods to approximate its asymptotic distribution. We verify these conditions for quantile and … distribution regression estimation of the control variable. We illustrate the computation and applicability of the CQIV estimator …

Persistent link: https://www.econbiz.de/10009153243

Conditional quantile processes based on series or many regressors

Belloni, Alexandre; Chernozhukov, Victor; … - 2011

Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric QR series framework, covering many regressors as a special...

Persistent link: https://www.econbiz.de/10009153247

Intersection bounds : estimation and inference

Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M. - 2011

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set. Our approach is...

Persistent link: https://www.econbiz.de/10009375645

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Persistent link: https://www.econbiz.de/10010336485

Adaptive nonparametric instrumental variables estimation : empirical choice of the regularisation parameter

Horowitz, Joel - 2012

In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is contolled by a regularisation parameter. The optimal...

Persistent link: https://www.econbiz.de/10009760143

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2013

This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

Persistent link: https://www.econbiz.de/10009761386

Optimal uniform convergence rates for sieve nonparametric instrumental variables regression

Chen, Xiaohong; Christensen, Timothy - 2013 - rev.

rates for mildly ill-posed problems. We then establish the minimax risk lower bound in sup-norm loss, which coincides with …

Persistent link: https://www.econbiz.de/10010197046

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n– consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10009620338

Random coefficients in static games of complete information

Dunker, Fabian; Hoderlein, Stefan; Kaido, Hiroaki - 2013

estimation of the distribution of random coefficients. We establish nonparametric point identification of the joint distribution …

Persistent link: https://www.econbiz.de/10009725714